Studies in air pollution epidemiology may suffer from some specific forms of confounding and exposure measurement error. This contribution discusses these, mostly in the framework of cohort studies. Evaluation of potential confounding is critical in studies of the health effects of air pollution. The association between long-term exposure to ambient air pollution and mortality has been investigated using cohort studies in which subjects are followed over time with respect to their vital status. In such studies, control for individual-level confounders such as smoking is important, as is control for area-level confounders such as neighborhood socio-economic status. In addition, there may be spatial dependencies in the survival data that need to be addressed. These issues are illustrated using the American Cancer Society Cancer Prevention II cohort. Exposure measurement error is a challenge in epidemiology because inference about health effects can be incorrect when the measured or predicted exposure used in the analysis is different from the underlying true exposure. Air pollution epidemiology rarely if ever uses personal measurements of exposure for reasons of cost and feasibility. Exposure measurement error in air pollution epidemiology comes in various dominant forms, which are different for time-series and cohort studies. The challenges are reviewed and a number of suggested solutions are discussed for both study domains.