Randomized clinical trials (RCTs) are conducted to guide clinicians’ selection of therapies for individual patients. Currently, RCTs in critical care often report an overall mean effect, and selected individual subgroups. Yet work in other fields suggests that such reporting practices can be improved. Specifically, this Perspective reviews recent work on so-called “heterogeneity of treatment effect” (HTE) by baseline risk, and extends that work to examine its applicability to trials of acute respiratory failure and severe sepsis. Because patients in RCTs in critical care medicine—and patients in ICUs—have wide variability in their risk of death, these patients will have wide variability in the absolute benefit that they can derive from a given therapy. If the side-effects of the therapy are not perfectly collinear with the treatment benefits, this will result in HTE, where different patients experience quite different expected benefits of a therapy. We use simulations of RCTs to demonstrate that such HTE could result in apparent paradoxes, including (1) positive trials of therapies that are beneficial overall but consistently harm or have little benefit to low-risk patients; and, (2) overall negative trials of therapies that still consistently benefit high-risk patients. We further show that these results persist even in the presence of causes of death unmodified by the treatment under study. These results have implications for reporting and analyzing RCT data, both to better understand how our therapies work and to improve the bedside applicability of RCTs. We suggest a plan for its measurement in future RCTs in the critically ill.