Value of information analysis is a quantitative method to estimate the return on investment in proposed research projects. It can be used in a number of ways. Funders of research may find it useful to rank projects in terms of the expected return on investment from a variety of competing projects. Alternatively, trialists can use the principles to identify the efficient sample size of a proposed study as an alternative to traditional power calculations, and finally, a value of information analysis can be conducted alongside an economic evaluation as a quantitative adjunct to the 'future research' or 'next steps' section of a study write up. The purpose of this paper is to present a brief introduction to the methods, a step-by-step guide to calculation and a discussion of issues that arise in their application to healthcare decision making. Worked examples are provided in the accompanying online appendices as Microsoft Excel spreadsheets.