Due to resource scarcity, health organizations worldwide must decide what services to fund and, conversely, what services not to fund. One approach to priority setting, which has been widely used in Britain, Australia, New Zealand and Canada, is programme budgeting and marginal analysis (PBMA). To date, such activity has primarily been based at a micro level, within programmes of care. In order to institute and refine the PBMA framework at a macro level across major service areas within a single health authority, researchers and decision-makers in Alberta embarked on a participatory action research project together. This paper identifies key issues of importance to decision-makers in a real-world priority-setting context. Themes discussed include making comparisons across disparate patient groups, dealing with political factors, using relevant forms of evidence, recognizing innovations and involving the public. The in-depth insight gained through this qualitative analysis will enable future refinement of PBMA at a macro level in the health authority under study, and should also serve to inform priority-setting activity in regionalized contexts elsewhere. In identifying aspects of priority setting that are important to decision-makers, researchers can also be better informed with respect to real-world processes.