Anomalous experiences (AE) (uncommon experiences or one that is believed to deviate from the usually accepted explanations of reality: hallucinations, synesthesia, experiences interpreted as telepathic…) and altered states of consciousness (ASC) have been described in all societies of all ages. Even so, scientists have long neglected the studies on this theme. To study AE and ASC is not necessary to share the beliefs we explore, they can be investigated as subjective experiences and correlated with other data, like any other human experience. This article presents some methodological guidelines to investigate these experiences, among them: to avoid dogmatic prejudice and to \'pathologize\' the unusual; the value of a theory and a comprehensive literature review; to utilize a variety of criteria for pathology and normality; the investigation of clinical and non-clinical populations; development of new appropriate research instruments; to be careful to choose the wording to describe the AE; to distinguished the lived experience from its interpretations; to take into account the role of culture; to evaluate the validity and reliability of reports and, last but not least, creativity and diversity in choosing methods.