Comparative analysis is a fundamental tool in biology. Conservation among species greatly assists the detection and characterization of functional elements, whereas inter-species differences are probably the best indicators of biological adaptation. Traditionally, comparative approaches were applied to the analysis of genomic sequences. With the growing availability of functional genomic data, comparative paradigms are now being extended also to the study of other functional attributes, most notably the gene expression. Here we review recent works applying comparative analysis to large-scale gene expression datasets and discuss the central principles and challenges of such approaches.