UseIt offers some advice for when to use which user experience research methods in a 4 quadrant grid.

You can't use the full set of methods on every project, but most design teams benefit from combining insights from multiple research methods. The key question is what to do when. To better understand when to use which method, it is helpful to realize that they differ along 3 dimensions:

1) Attitudinal vs. Behavioral
2) Qualitative vs. Quantitative
3) Context of Website or Product Use