Controlled experiments are the backbone of machine learning research, but at the scale of modern foundation models, they have become prohibitively expensive. Instead, the community increasingly relies on research strategies that approximate the ideal experiment at a fraction of the cost: proxy experiments and scaling laws, observational studies with publicly available models, and single-run designs that leverage variation within individual training runs. In this work, we argue that there is no free lunch when approximating large-scale experiments on a compute budget. Specifically, savings in compute come at the cost of validity threats -- hidden and sometimes untestable assumptions that, when violated, can invalidate research claims. To help navigate such threats, we propose an evaluation framework that casts foundation model research as a causal inference problem. Within this framework, we evaluate different research strategies through four types of validity adapted from the empirical social sciences -- statistical, internal, external, and construct validity. We find that each strategy comes with a characteristic validity profile: proxy experiments trade external and construct validity for statistical and internal validity; observational studies face confounding and effect heterogeneity; and single-run designs are strained by interference between treated units. This analysis reveals several validity threats that have received insufficient attention in the literature. Overall, our evaluation framework provides researchers with a practical toolkit for scrutinizing validity threats in foundation model research~designs.