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This paper argues that data collection with undergraduates can be a useful pedagogical practice, allowing students to immerse themselves in the research process without (necessarily) requiring them to complete a whole project. While more standard approaches to teaching research methods focus on developing theory and hypotheses and testing those hypotheses, collecting data with students allows them to see the in-between phase of data generation/production, which might otherwise be given short shrift. While some pedagogy research, particularly that coming from natural science disciplines and psychology, has discussed having undergraduates perform experiments to gather data, the value of gathering observational data has received little attention. Making decisions about measurement and operationalization, creating a codebook, finding appropriate sources of evidence, and coding data based on pre-established criteria—these are practices that can teach students important lessons about the connection between theory and empirics and support a greater understanding of ‘how we know what we know.’ Based on my experience working on several large-scale data projects with students, I will demonstrate how data collection activities can be implemented in the context of courses or co-curricular research experiences across international studies.