There are about as many research methods as there are roads to Rome. Choosing which method is most suitable for your project is a key step in designing a sound research strategy.
The following list gives an overview of what research methods to consider in what situation.
Exploring the market – Desk research, big data, market numbers, trend reports.
Discovery research – Ethnography, focus groups, interviews, observations and intercepts.
Concept testing – Interviews, UX interviews or focus groups.
Marketing & Communication research – Interviews.
Evaluation – Observations and intercepts, ethnography, focus groups, interviews.
A solid research method fits well with the context of your solution, your audience and your development process. A good starting point is to think how people would experience your offer in real life and do research in a similar setting where possible. At home, in-store, in-office, online, etc.
Another important point to consider is how much you want / or don't want participants to inspire or influence each other (see post #4 on choosing interviews vs focus groups).
Ultimately, what research methods to use also depends on factors like: available research skills, target audience characteristics, available time and budget.