Quantitative evidence synthesis through meta‐analysis is central to evidence‐based medicine. For well‐documented reasons, the meta‐analysis of individual patient data is held in higher regard than aggregate data. With access to individual patient data, the analysis is not restricted to a “two‐stage” approach (combining estimates and standard errors) but can estimate parameters of interest by fitting a single model to all of the data, a so‐called “one‐stage” analysis. There has been debate about the merits of one‐ and two‐stage analysis. Arguments for one‐stage analysis have typically noted that a wider range of models can be fitted and overall estimates may be more precise. The two‐stage side has emphasised that the models that can be fitted in two stages are sufficient to answer the relevant questions, with less scope for mistakes because there are fewer modelling choices to be made in the two‐stage approach. For Gaussian data, we consider the statistical arguments for flexibility and precision in small‐sample settings. Regarding flexibility, several of the models that can be fitted only in one stage may not be of serious interest to most meta‐analysis practitioners. Regarding precision, we consider fixed‐ and random‐effects meta‐analysis and see that, for a model making certain assumptions, the number of stages used to fit this model is irrelevant; the precision will be approximately equal. Meta‐analysts should choose modelling assumptions carefully. Sometimes relevant models can only be fitted in one stage. Otherwise, meta‐analysts are free to use whichever procedure is most convenient to fit the identified model.