In recent years, many researchers have used non-invasive methods to measure the physiological stress response of diverse mammals, by measuring glucocorticoid hormones and/or their metabolites in urine, faeces or hair. Such studies have investigated the physiological responses of mammals to numerous stressors, such as seasonal changes, social ranking, population density, translocation and acclimation to a new environment, the presence of or handling by humans (e.g. zoo visitors), to name a few. However, individual differences in the stress response may impact on studies investigating differences between treatment groups. Using examples from studies of koalas, possums and bandicoots, we will show that high variation between individuals can make interpreting group differences difficult, and discuss ways to account for this during the experimental design phase. We also argue that investigating the individual variation itself is a worthwhile scientific pursuit, particularly if it is related to differences in how individuals interact with and value the extrinsic biotic and abiotic environment.