Classical Cepheids are one of the most important standard candles that anchor the distance ladder for cosmology. These stars are also powerful probes of massive star evolution thanks to their pulsation properties. Even though Cepheids have been extensively studied for centuries, we continue to be surprised by new and ongoing observations and continue to be plagued by long-standing questions. In this talk, I will review some of the challenges for understanding Cepheids such as mass loss and the persistent Cepheid mass discrepancy. I will show how we can use period change to measure real-time stellar evolution to test rotation, convection and mass loss. I will also discuss the particular case of the nearest Cepheid, Polaris, which as a binary system offers new perplexing challenges.