Stochastic dependence between gene expression levels in microarray data is of critical importance for the methods of statistical inference that resort to pooling test statistics across genes. The empirical Bayes methodology in the nonparametric and parametric formulations, as well as closely related methods employing a two-component mixture model, represent typical examples. It is frequently assumed that dependence between gene expressions (or associated test statistics) is sufficiently weak to justify the application of such methods for selecting differentially expressed genes. By applying resampling techniques to simulated and real biological data sets, we have studied a potential impact of the correlation between gene expression levels on the statistical inference based on the empirical Bayes methodology. We report evidence from these analyses that this impact may be quite strong, leading to a high variance of the number of differentially expressed genes. This study also pinpoints specific components of the empirical Bayes method where the reported effect manifests itself.