Palliative care is increasingly seen as a standard component of high-quality comprehensive cancer care. However, several challenges remain to its widespread integration into clinical oncology practice, including workforce problems, reimbursement concerns, and a fledgling evidence base. This article discusses issues surrounding evidence base development in palliative cancer care, using the example of a recently published randomized controlled trial of oxygen versus room air. The Oxygen Trial randomized patients with refractory dyspnea and adequate Pao2 to oxygen or room air, administered via nasal cannula. Both groups experienced improvements in self-rated dyspnea scores, but no statistical differences were seen between intervention arms. These results suggest that supplementary oxygen is often unnecessary in the palliative setting, and that room air is similarly efficacious. This example highlights the importance and need for ongoing development of the evidence base in palliative medicine. The Palliative Care Research Cooperative (PCRC) is a novel National Institute of Nursing Research-funded research infrastructure that seeks to expand the palliative care evidence base. Its first multisite trial was recently completed, assessing the pragmatic question of whether statin medications can be safely discontinued in end-of-life settings. The PCRC will be a vehicle through which a high-quality evidence base will continue to expand and develop. Such ongoing research efforts are needed to inform and improve palliative care practice.