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Zero-shot sim-to-real transfer of tasks with complex dynamics is a highly challenging and unsolved problem. A number of solutions have been proposed in recent years, but we have found that many works do not present a thorough evaluation in the real world, or underplay the significant engineering effort and task-specific fine tuning that is required to achieve the published results. In this paper, we dive deeper into the sim-to-real transfer challenge, investigate why this is such a difficult problem, and present objective evaluations of a number of transfer methods across a range of real-world tasks. Surprisingly, we found that a method which simply injects random forces into the simulation performs just as well as more complex methods, such as those which randomise the simulator's dynamics parameters, or adapt a policy online using recurrent network architectures.