In a lot of ways, I think that different forms of self selection are the biggest threat to study validity in observational epidemiology. We see it in loss to follow-up when participants select out of clinical trials. We see it in important exposures like diet, exercise and alcohol use where the exposure is likely correlated with many other health seeking behaviors. Heck, we know that being adherent to placebo therapy is associated with good outcomes.
So the trick seems to isolating the effect of a single exposure. It is the process of thinking up ways to do this isolation that allows epidemiologists to really earn their keep.