This chapter presents a series of research studies focused on the difficulties students experience when learning about sampling distributions. In particular, the chapter traces the seven-year history of an ongoing collaborative research project investigating the impact of students' interaction with computer software tools to improve their reasoning about sampling distributions. For this classroom-based research project, three researchers from two American universities collaborated to develop software, learning activities, and assessment tools to be used in introductory college-level statistics courses. The studies were conducted in five stages, and utilized quantitative assessment data as well as videotaped clinical interviews. As the studies progressed, the research team developed a more complete understanding of the complexities involved in building a deep understanding of sampling distributions, and formulated models to explain the development of students' reasoning.