It is argued that any non-trivial real world problems involve multiple objectives. The simplistic approach of combining objectives in linear form can generate highly misleading and biased results, and is poor operational research practice. Such biases are illustrated by means of a simple example, and it is demonstrated that two simple approaches based on goal programming and piecewise linear value functions can largely resolve these problems. These methods require careful attention to problem structuring but are easily implemented by use of standard linear programming (LP) packages.