Quantitative predictions in computational life sciences are often based on regression models. The advent of machine learning has led to highly accurate regression models that have gained widespread acceptance. While there are statistical methods available to estimate the global performance of regression models on a test or training dataset, it is often not clear how well this performance transfers to other datasets or how reliable an individual prediction is–a fact that often reduces a user’s trust into a computational method. In analogy to the concept of an experimental error, we sketch how estimators for individual prediction errors can be used to provide confidence intervals for individual predictions. Two novel statistical methods, named CONFINE and CONFIVE, can estimate the reliability of an individual prediction based on the local properties of nearby training data. The methods can be applied equally to linear and non-linear regression methods with very little computational overhead. We compare our confidence estimators with other existing confidence and applicability domain estimators on two biologically relevant problems (MHC–peptide binding prediction and quantitative structure-activity relationship (QSAR)). Our results suggest that the proposed confidence estimators perform comparable to or better than previously proposed estimation methods. Given a sufficient amount of training data, the estimators exhibit error estimates of high quality. In addition, we observed that the quality of estimated confidence intervals is predictable. We discuss how confidence estimation is influenced by noise, the number of features, and the dataset size. Estimating the confidence in individual prediction in terms of error intervals represents an important step from plain, non-informative predictions towards transparent and interpretable predictions that will help to improve the acceptance of computational methods in the biological community.