It's easy to forget that many of the standard results that we learn in statistics are based fairly and squarely on the assumption that the data are obtained by using simple random sampling.
In reality, this is rarely the case. Stratified and cluster sampling are routinely used by our statistical agencies, and frequently the sampling process is much more complicated than that. So-called "Complex Survey" designs, which involve multi-stage stratification and clustering are very common.
This is something to watch out for in practice.