One of the most important challenges in supervised learning is how to evaluate the quality of the models evolved by different machine learning techniques. Up to now, we have relied on measures obtained by running the methods on a wide test bed composed of real-world problems. Nevertheless, the unknown inherent characteristics of these problems and the bias of learners may lead to inconclusive results. This paper discusses the need to work under a controlled scenario and bets on artificial data set generation. A list of ingredients and some ideas about how to guide such generation are provided, and promising results of an evolutionary multi-objective approach which incorporates the use of data complexity estimates are presented. Key words: Data complexity, artificial data sets, machine learning.