Hypothesis testing using both quantitative and qualitative methods is a respected method in social science research. However, other strands of social inquiry adopt a more open-ended and flexible approach. In this chapter, I discuss the benefits and pitfalls of exploratory approaches to researching the border, using my own experience of ‘taking the border for a walk’. I begin by setting out some key ideas about exploratory research as an epistemological perspective for social researchers, contrasting its inductive approach with the deductive orientation more characteristic of hypothesis testing. While they may appear to be polar opposites, I argue that ‘scientific’ inquiry relies on creative insights to a greater degree than is often acknowledged, while the apparent flouting of established methodological principles in exploratory research belies the deeper logic and discipline that is needed to keep this potentially wayward methodology on track.