The US Department of Veterans Affairs (VA) Cooperative Studies Program has been conducting comparative effectiveness clinical trials for nearly 4 decades in many disease areas, including cardiovascular disease/surgery, diabetes mellitus, mental health, neurologic disorders, cancer, infectious diseases, and rheumatoid arthritis. The features that have made this program advantageous for conducting comparative effectiveness clinical trials are described along with methodological considerations for future trials based on lessons learned from its experience conducting these types of studies. Some of the lessons learned involve managing risk factors, clinical equipoise, patient preferences, evolving technology, the use of usual care as a comparator and pharmaceutical issues related to study drug blinding. These issues are not unique to the VA but can play an important role in enabling valid comparisons between treatments that may have differences in delivery or mechanisms of action and could affect the execution and feasibility of conducting a clinical trial with a comparative effectiveness aim. We also outline some future directions for comparative effectiveness clinical trials.