In this chapter we present an overview of several methodological approaches used in business intelligence (BI) projects, as well as data warehouse projects. This study reveals that some of them reveal weaknesses, since they are not specifically defined for BI projects, and thus they do not fit specific BI project characteristics or user requirements. These may be the main cause explaining that there is not a broadly accepted BI methodology by practitioners. Even though the goal to find the “best BI methodology” is difficult (or impossible) to meet, we think that any best-class BI methodology may follow an agile approach to better fit BI project characteristics and practitioners’ requirements. In this sense, we have analysed BI project characteristics as well as agile principles defined in the Agile Manifesto, and we have identified a strong relationship between these two sources. In this chapter, we show this strong relationship between the so-called critical success factors for BI projects and the Agile principles. Therefore, based on our analysis, we consider that successful BI methodologies must follow an agile approach.