Analysis of continuous variables sometimes proceeds by selecting individuals on the basis of extreme scores of a sample distribution and submitting only those extreme scores to further analysis. This sampling method is known as the extreme groups approach (EGA). EGA is often used to achieve greater statistical power in subsequent hypothesis tests. However, there are several largely unrecognized costs associated with EGA that must be considered. The authors illustrate the effects EGA can have on power, standardized effect size, reliability, model specification, and the interpretability of results. Finally, the authors discuss alternative procedures, as well as possible legitimate uses of EGA. The authors urge researchers, editors, reviewers, and consumers to carefully assess the extent to which EGA is an appropriate tool in their own research and in that of others.