The Cepheid Period-Luminosity relation is unquestionably one of the most powerful tools at our disposal for determining the extragalactic distance scale. While significant progress has been made in the past few years towards its understanding and characterisation, both on the observational (e.g. the HST Key Project) and theoretical (e.g. non-linear pulsation models, non-LTE atmospheres etc.) sides, the debate on the influence that chemical composition may have on the Period-Luminosity relation is still unsettled. Current estimates lead to differences in the distance as large as 15%, effectively limiting the accuracy of Cepheids as distance indicators. To further tackle this problem, we have obtained high resolution spectra of a large sample of Cepheids in our Galaxy and the Magellanic Clouds. The superb quality of the data allow us to probe the detailed effects of chemical composition (alpha, iron-group, and heavy elements) over more than a factor of ten in metallicity. Here, we present the first preliminary results of the analysis of iron abundances in a sub-sample of Cepheids.
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