With developers of entertainment games increasingly exploiting the potential the platform affords for capturing rich data on user behaviour, adopting similar paradigms for "serious" purposes such as positive social change or public health intervention is a tempting prospect. However, exploitation of this potential must be tempered by a careful consideration of how ethical principles can be adhered to and applied to foster and sustain trust amongst end-users. This is particularly the case for at-risk groups, who may be particularly vulnerable to misunderstanding or misinterpreting requests to participate in research activities. In this paper, several key areas in which serious games present unique ethical considerations are presented and discussed: the unique nature of play as a source of data for analysis, the motivating role of the game and its use as an incentive for participation, and the impact of the entertainment gaming industry and its conventions user expectations. A case is presented based on preliminary work in developing a serious game for European migrants, and a number of key areas for consideration described. Through discussion of the emergence of methods and techniques for the analysis of data arising through play, the technological urgency for development of mechanisms to support ethical capture and processing of data from game-based learning environments is noted. To conclude the paper, future ethical dilemmas brought by success in achieving technological platforms capable of stimulating and managing behavioural changes are discussed.