Ecological Momentary Assessment (EMA) is a way of collecting data in people’s natural environments in real time and has become very popular in social and health sciences. The emergence of personal digital assistants has led to more complex and sophisticated EMA protocols but has also highlighted some important drawbacks. Modern cell phones combine the functionalities of advanced communication systems with those of a handheld computer and offer various additional features to capture and record sound, pictures, locations, and movements. Moreover, most people own a cell phone, are familiar with the different functions, and always carry it with them. This paper describes ways in which cell phones have been used for data collection purposes in the field of social sciences. This includes automated data capture techniques, for example, geolocation for the study of mobility patterns and the use of external sensors for remote health-monitoring research. The paper also describes cell phones as efficient and user-friendly tools for prompt manual data collection, that is, by asking participants to produce or to provide data. This can either be done by means of dedicated applications or by simply using the web browser. We conclude that cell phones offer a variety of advantages and have a great deal of potential for innovative research designs, suggesting they will be among the standard data collection devices for EMA in the coming years.