Female and male brains differ. Differences begin early during development due to a combination of genetic and hormonal events and continue throughout the lifespan of an individual. Although researchers from a myriad of disciplines are beginning to appreciate the importance of considering sex differences in the design and interpretation of their studies, this is an area that is full of potential pitfalls. A female’s reproductive status and ovarian cycle have to be taken into account when studying sex differences in health and disease susceptibility, in the pharmacological effects of drugs, and in the study of brain and behavior. To investigate sex differences in brain and behavior there is a logical series of questions that should be answered in a comprehensive investigation of any trait. First, it is important to determine that there is a sex difference in the trait in intact males and females, taking into consideration the reproductive cycle of the female. Then, one must consider whether the sex difference is attributable to the actions of gonadal steroids at the time of testing and/or is sexually differentiated permanently by the action of gonadal steroids during development. To answer these questions requires knowledge of how to assess and/or manipulate the hormonal condition of the subjects in the experiment appropriately. This article describes methods and procedures to assist scientists new to the field in designing and conducting experiments to investigate sex differences in research involving both laboratory animals and humans.