Gene set analysis is a quantitative approach for generating biological insight from gene expression datasets. The abundance of gene set analysis methods speaks to their popularity, but raises the question of the extent to which results are affected by the choice of method. Our systematic analysis of 13 popular methods using 6 different datasets, from both DNA microarray and RNA-Seq origin, shows that this choice matters a great deal. We observed that the overall number of gene sets reported by each method differed by up to 2 orders of magnitude, and there was a bias toward reporting large gene sets with some methods. Furthermore, there was substantial disagreement between the 20 most statistically significant gene sets reported by the methods. This was also observed when expanding to the 100 most statistically significant reported gene sets. For different datasets of the same phenotype/condition, the top 20 and top 100 most significant results also showed little to no agreement even when using the same method. GAGE, PAGE, and ORA were the only methods able to achieve relatively high reproducibility when comparing the 20 and 100 most statistically significant gene sets. Biological validation on a juvenile idiopathic arthritis (JIA) dataset showed wide variation in terms of the relevance of the top 20 and top 100 most significant gene sets to known biology of the disease, where GAGE predicted the most relevant gene sets, followed by GSEA, ORA, and PAGE.