The androgen receptor (AR) plays an important role in the development and progression of prostate cancer (PCa). Androgen deprivation therapy is initially effective in blocking tumor growth, but it eventually leads to the hormone-refractory state. The detailed mechanisms of the conversion from androgen dependence to androgen independence remain unclear. Several PCa cell lines were established to study the role of AR in PCa, but the results were often inconsistent or contrasting in different cell lines, or in the same cell line grown under different conditions. The cellular and molecular alteration of epithelial cells and their microenvironments are complicated, and it is difficult to use a single cell line to address this important issue and also to study the pathophysiological effects of AR. In this paper, we summarize the different effects of AR on multiple cell lines and show the disadvantages of using a single human PCa cell line to study AR effects on PCa. We also discuss the advantages of widely used epithelium-stroma co-culture systems, xenograft mouse models, and genetically engineered PCa mouse models. The combination of in vitro cell line studies and in vivo mouse models might lead to more credible results and better strategies for the study of AR roles in PCa.