Drawing upon methodological insights acquired from 10 months of fieldwork in a market in Uganda, this case explores the merit of using participant observation in studies investigating social rules and norms. The reflections provided in this case are derived from a research project investigating the moral economy of an urban vendors market in Kampala. I open the case by providing a brief overview of my research, and the broader function of participant observation in research design. Following this, I provide examples of the benefits and challenges of participant observation, based on my fieldwork in Kampala. Finally, I conclude the case by providing a list of practical lessons for researchers thinking of using participant observation in their work, followed by a series of exercises and discussion questions.