  Density (or state) dependent pair potentials arise naturally from
coarse-graining procedures in many areas of condensed matter science. However,
correctly using them to calculate physical properties of interest is subtle and
cannot be uncoupled from the route by which they were derived. Furthermore,
there is usually no unique way to coarse-grain to an effective pair potential.
Even for simple systems like liquid Argon, the pair potential that correctly
reproduces the pair structure will not generate the right virial pressure.
Ignoring these issues in naive applications of density dependent pair
potentials can lead to an apparent dependence of thermodynamic properties on
the ensemble within which they are calculated, as well as other
inconsistencies. These concepts are illustrated by several pedagogical
examples, including: effective pair potentials for systems with many-body
interactions, and the mapping of charged (Debye-H\"{u}ckel) and uncharged
(Asakura-Oosawa) two-component systems onto effective one-component ones.
