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This chapter provides an overview of the specific legal, ethical, and privacy issues that can arise when conducting research using Twitter data. Existing literature is reviewed to inform those who may be undertaking social media research. We also present a number of industry and academic case studies in order to highlight the challenges that may arise in research projects using social media data. Finally, the chapter provides an overview of the process that was followed to gain ethics approval for a Ph.D. project using Twitter as a primary source of data. By outlining a number of Twitter-specific research case studies, the chapter will be a valuable resource to those considering the ethical implications of their own research projects utilizing social media data. Moreover, the chapter outlines existing work looking at the ethical practicalities of social media data and relates their applicability to researching Twitter.