The statistical analysis of molecular dynamics simulations requires dimensionality reduction techniques, which yield a low-dimensional set of collective variables (CVs) {x i } = x that in some sense describe the essential dynamics of the system. Considering the distribution P( x ) of the CVs, the primal goal of a statistical analysis is to detect the characteristic features of P( x ), in particular, its maxima and their connection paths. This is because these features characterize the low-energy regions and the energy barriers of the corresponding free energy landscape ΔG( x ) = -k B T ln P( x ), and therefore amount to the metastable states and transition regions of the system. In this perspective, we outline a systematic strategy to identify CVs and metastable states, which subsequently can be employed to construct a Langevin or a Markov state model of the dynamics. In particular, we account for the still limited sampling typically achieved by molecular dynamics simulations, which in practice seriously limits the applicability of theories (e.g., assuming ergodicity) and black-box software tools (e.g., using redundant input coordinates). We show that it is essential to use internal (rather than Cartesian) input coordinates, employ dimensionality reduction methods that avoid rescaling errors (such as principal component analysis), and perform density based (rather than k-means-type) clustering. Finally, we briefly discuss a machine learning approach to dimensionality reduction, which highlights the essential internal coordinates of a system and may reveal hidden reaction mechanisms.