1. Immune defence is an incredibly complicated system, but to understand how it functions in an ecological context is challenging. Our focus is to outline the diversity of ways to measure immune function for ecologists, and to provide some details on the limitations in interpretation of results. 2. There are two broad questions that ecological immunologists have to deal with. The first is what assays are appropriate for the research question of interest? Some researchers assume the biological relevance of an immune assay without investigation or a complete understanding of the immune response. Therefore, the second question is, what parasite challenge does one choose, and does a measurement of immune function reflect the response of the host towards that parasite? There are many assumptions, caveats, and pitfalls facing ecological immunologists, and investigating the relationships between immune assays and whole organismal defence will help us to understand variations in immune responses. 3. We provide an extensive listing of immune function measures, presenting examples from both the vertebrate and invertebrate literature, and wherever possible from non‐model organisms. We also outline how these responses are part of an integrated immune defence and encourage thinking about immune function as a hierarchical defence model. We describe how immune responses interact with one another, identify concerns regarding when to measure an immune response, and describe general problems faced when trying to collect a measure of immune function in wild organisms. 4. Extrinsic factors influence immune measurements and the importance of parasites is often overlooked. We give several examples of how parasites interact with organism’s immune systems, suggest greater inclusion of parasites into ecological immunology experiments, describe how micro‐organisms may interact symbiotically with their host’s immune system, and advocate the inclusion of tolerance and resistance in ecological immunological thinking.