The 27k Illumina Infinium Methylation Beadchip is a popular high-throughput technology that allows the methylation state of over 27,000 CpGs to be assayed. While feature selection and classification methods have been comprehensively explored in the context of gene expression data, relatively little is known as to how best to perform feature selection or classification in the context of Illumina Infinium methylation data. Given the rising importance of epigenomics in cancer and other complex genetic diseases, and in view of the upcoming epigenome wide association studies, it is critical to identify the statistical methods that offer improved inference in this novel context.