Background: Individuals of many vertebrate species show different stress coping styles and these have a striking influence on how gene expression shifts in response to a variety of challenges. Principal Findings: This is clearly illustrated by a study in which common carp displaying behavioural predictors of different coping styles (characterised by a proactive, adrenaline-based or a reactive, cortisol-based response) were subjected to inflammatory challenge and specific gene transcripts measured in individual brains. Proactive and reactive fish differed in baseline gene expression and also showed diametrically opposite responses to the challenge for 80% of the genes investigated. Significance: Incorporating coping style as an explanatory variable can account for some the unexplained variation that is common in gene expression studies, can uncover important effects that would otherwise have passed unnoticed and greatly enhances the interpretive value of gene expression data. © 2009 MacKenzie et al.