This paper reviews the key ethical, legal, technical and data quality challenges researchers face when working with these new data sources. Its goal is to start a conversation among researchers aimed at clarifying their responsibilities to those whose data we use in research, the clients we serve and the general public. It uses the term secondary data to mean data collected for another purpose and subsequently used in research. It expands on the traditional definition of secondary data to account for new types and sources of data made possible by new technologies and the Internet. It is used here in place of the popular but often vague term, big data, and is meant to include data from various sources, such as transactions generated when people interact with a business or government agency; postings to social media networks and the Internet of Things (IOT). It is distinct from primary data, meaning data collected by a researcher from or about an individual for the purpose of research.