There is tremendous scientific interest in the analysis of gene expression data in clinical settings, such as oncology. In this paper, we describe the importance of adjusting for confounders and other prognostic factors in order to select for differentially expressed genes for follow-up validation studies. We develop two approaches to the analysis of microarray data in non-randomized clinical settings. The first is an extension of the current significance analysis of microarray procedures, where other covariates are taken into account. The second is a novel covariate-adjusted regression modelling based on the receiver operating characteristic (ROC) curve for the analysis of gene expression data. The ideas are illustrated using data from a prostate cancer molecular profiling study.