PURPOSE: Chronic disease care typically involves treatment decisions that are frequently adjusted to the patient's evolving clinical course (e.g., hemoglobin A1c monitoring and treatment intensification in diabetes patients). Thus, in comparative effectiveness and safety research (CER), it often is less clinically relevant to contrast the health effects of static treatment decisions than to compare the effectiveness of competing medical guidelines, that is, adaptive treatment strategies that map the patient's unfolding clinical course to subsequent treatment decisions. With longitudinal observational studies, treatment decisions at any point in time may be influenced by clinical factors that also are risk factors for the outcome of interest. Such time-dependent confounders cannot be properly handled with standard statistical approaches, because such confounders may be influenced by previous treatment decisions and may thus lie on causal pathways between the very outcomes and early treatment decisions whose effects are under study. Under explicit assumptions, we motivate the application of inverse probability weighting estimation to fit dynamic marginal structural models (MSMs) in observational studies to address pragmatic CER questions and properly adjust for time-dependent confounding and informative loss to follow-up. METHODS: We review the principles behind this modeling approach and describe its application in an observational study of type 2 diabetes patients to investigate the comparative effectiveness of four adaptive treatment intensification strategies for glucose control on subsequent development or progression of urinary albumin excretion. RESULTS: Results indicate a protective effect of more aggressive treatment intensification strategies in patients already on two or more oral agents or basal insulin. These conclusions are concordant with recent randomized trials. CONCLUSIONS: Inverse probability weighting estimation to fit dynamic MSM is a viable and appealing alternative to inadequate standard modeling approaches in many CER problems where time-dependent confounding and informative loss to follow-up are expected.