"Wicked" issues are one-off problems that have no algorithms to follow to solutions. They are ill-understood or understood in multiple, perhaps conflicting, ways and are fundamentally complex in character. This paper argues that the term is an apt one to describe many aspects of the relationship between theory and data in educational research, and the decisions that have to be made about theory and its role in relation to data. The paper explores these aspects, focusing on the theoretical choices researchers often need to make. It argues that while there is great benefit in making good, explicit, theoretical choices, there are several traps that lie in wait for the unwary and fundamental decisions about the role of theory in research. In clarifying the dimensions of wickedity in this regard, this paper offers assistance to researchers in thinking through the issues they face.