COPD is currently defined as a progressive, preventable, and treatable disease that is characterized by an accelerated decline of lung function. However, contrary to other common chronic conditions like cardiovascular disease or cancer, there are no lifelong population-based studies describing the natural history of lung function and COPD. In this review, we describe the methodology used in population-based studies, both American and European, that have formed the basis of our current understanding of the “natural history” of COPD, including studies with serial pulmonary function testing, which hold potential for further investigations. We highlight the methodological limitations of longitudinal studies and suggest possible solutions. Finally, some characteristics of an “ideal” study on the natural history of lung function decline are recommended, both in health and disease.