This study investigates issues of reliability and validity in pragmatics research and examines the extent to which role-play data approximate naturally-occurring discourse with respect to the content and frequency of requests in Mexican Spanish. The data were gathered from naturally-occurring conversations and field notes in a wide array of contexts and included requests from males and females in formal and informal situations. The results of the current study indicate that natural data represent the most valid way of observing different aspects of speech-act (verbal and non-verbal) behavior in social interaction, as there are various types of request forms that cannot be generated if one follows the role-play path. However, open role plays, if constructed with sufficient contextual information, may offer some advantages over natural data in that they have the potential of eliciting interactional data for research purposes while controlling for various sociolinguistic variables.