Under exceptional circumstances, it is possible to obtain DNA sequences from samples that are up to hundreds of thousands of years old. These data provide an opportunity to look directly at past genetic diversity, to trace the evolutionary process through time, and to infer demographic and phylogeographic trends. Ancient DNA (aDNA) data sets have some degree of intrinsic temporal structure because the sequences have been obtained from samples of different ages. When analyzing these data sets, it is usually necessary to take the sampling times into account. A number of phylogenetic methods have been designed with this purpose in mind. Here I describe the steps involved in Bayesian phylogenetic analysis of aDNA data. I outline a procedure that can be used to co-estimate the genealogical relationships, mutation rate, evolutionary timescale, and demographic history of the study species in a single analytical framework. A number of modifications to the methodology can be made in order to deal with complicating factors such as postmortem damage, sequences from undated samples, and data sets with low information content.