Despite the development of valuable new techniques (i.e., genetics, neuroimage) for the study of the neurobiological substrate of psychiatric diseases, there are strong limitations in the information that can be gathered from human studies. It is thus critical to develop appropriate animal models of psychiatric diseases to characterize their putative biological bases and the development of new therapeutic strategies. The present review tries to offer a general perspective and several examples of how individual differences in animals can contribute to explain differential susceptibility to develop behavioral alterations, but also emphasizes methodological problems that can lead to inappropriate or over-simplistic interpretations. A critical analysis of the approaches currently used could contribute to obtain more reliable data and allow taking full advantage of new and sophisticated technologies. The discussion is mainly focused on anxiety-like and to a lower extent on depression-like behavior in rodents.