Gene co-expression networks are increasingly used to explore the system-level functionality of genes. The network construction is conceptually straightforward: nodes represent genes and nodes are connected if the corresponding genes are significantly co-expressed across appropriately chosen tissue samples. In reality, it is tricky to define the connections between the nodes in such networks. An important question is whether it is biologically meaningful to encode gene co-expression using binary information (connected=1, unconnected=0). We describe a general framework for `soft' thresholding that assigns a connection weight to each gene pair. This leads us to define the notion of a weighted gene co-expression network. For soft thresholding we propose several adjacency functions that convert the co-expression measure to a connection weight. For determining the parameters of the adjacency function, we propose a biologically motivated criterion (referred to as the scale-free topology criterion).We generalize the following important network concepts to the case of weighted networks. First, we introduce several node connectivity measures and provide empirical evidence that they can be important for predicting the biological significance of a gene. Second, we provide theoretical and empirical evidence that the `weighted' topological overlap measure (used to define gene modules) leads to more cohesive modules than its `unweighted' counterpart. Third, we generalize the clustering coefficient to weighted networks. Unlike the unweighted clustering coefficient, the weighted clustering coefficient is not inversely related to the connectivity. We provide a model that shows how an inverse relationship between clustering coefficient and connectivity arises from hard thresholding.We apply our methods to simulated data, a cancer microarray data set, and a yeast microarray data set.