Convergent experimental data, autobiographical studies, and investigations on daily life have all demonstrated that gathering information retrospectively is a highly dubious methodology. Retrospection is subject to multiple systematic distortions (i.e., affective valence effect, mood congruent memory effect, duration neglect; peak end rule) as it is based on (often biased) storage and recollection of memories of the original experience or the behavior that are of interest. The method of choice to circumvent these biases is the use of electronic diaries to collect self-reported symptoms, behaviors, or physiological processes in real time. Different terms have been used for this kind of methodology: ambulatory assessment, ecological momentary assessment, experience sampling method, and real-time data capture. Even though the terms differ, they have in common the use of computer-assisted methodology to assess self-reported symptoms, behaviors, or physiological processes, while the participant undergoes normal daily activities. In this review we discuss the main features and advantages of ambulatory assessment regarding clinical psychology and psychiatry: (a) the use of realtime assessment to circumvent biased recollection, (b) assessment in real life to enhance generalizability, (c) repeated assessment to investigate within person processes, (d) multimodal assessment, including psychological, physiological and behavioral data, (e) the opportunity to assess and investigate context-specific relationships, and (f) the possibility of giving feedback in real time. Using prototypic examples from the literature of clinical psychology and psychiatry, we demonstrate that ambulatory assessment can answer specific research questions better than laboratory or questionnaire studies.