In recent years, the time trade-off (TTO) method, most commonly with a 10-year time horizon, has been the most frequently used approach for direct health state utility assessment, likely due to National Institute for Health and Care Excellence (NICE) preference for comparability with the EQ-5D, which has a utility scoring algorithm derived via this method. Although comparability to previous utility studies is important, there are situations when the TTO method may not be appropriate. The purpose of the current review is to highlight challenges to the TTO method. Five challenges to the TTO method are discussed: mild health states, small differences among health states, temporary health states, pediatric health states, and assessment of samples with particular characteristics. Some of these challenges are associated with the 10-year time horizon, while other situations may raise issues for TTO methods regardless of the time horizon. Alternative approaches for valuing health states are suggested.