Electroencephalographic sleep studies have become an accepted clinical and research tool in the study of affective disorders, but questions persist regarding their diagnostic utility, sensitivity, and specificity. Several important methodological and conceptual issues are often overlooked in the sensitivity/specificity issue. Appraisals of sleep studies' utility may be affected by the competing needs of clinical and research studies and by focusing too narrowly on the diagnostic use of sleep studies, rather than on their wider clinical and research applications. Examples are presented that demonstrate the utility of sleep studies in examining other aspects of the neurobiology of depression.