Numerous feature selection methods have been applied to the identification of differentially expressed genes in microarray data. These include simple fold change, classical t-statistic and moderated t-statistics. Even though these methods return gene lists that are often dissimilar, few direct comparisons of these exist. We present an empirical study in which we compare some of the most commonly used feature selection methods. We apply these to 9 publicly available datasets, and compare, both the gene lists produced and how these perform in class prediction of test datasets.