Missing data are ubiquitous in medical research, yet there is still uncertainty over when restricting to the complete records is likely to be acceptable, when more complex methods (e.g. maximum likelihood, multiple imputation and Bayesian methods) should be used, how they relate to each other and the role of sensitivity analysis. This article seeks to address both applied practitioners and researchers interested in a more formal explanation of some of the results. For practitioners, the framework, illustrative examples and code should equip them with a practical approach to address the issues raised by missing data (particularly using multiple imputation), alongside an overview of how the various approaches in the literature relate. In particular, we describe how multiple imputation can be readily used for sensitivity analyses, which are still infrequently performed. For those interested in more formal derivations, we give outline arguments for key results, use simple examples to show how methods relate, and references for full details. The ideas are illustrated with a cohort study, a multi-centre case control study and a randomised clinical trial.