Background To predict gene expressions is an important endeavour within computational systems biology. It can both be a way to explore how drugs affect the system, as well as providing a framework for finding which genes are interrelated in a certain process. A practical problem, however, is how to assess and discriminate among the various algorithms which have been developed for this purpose. Therefore, the DREAM project invited the year 2008 to a challenge for predicting gene expression values, and here we present the algorithm with best performance. Methodology/Principal Findings We develop an algorithm by exploring various regression schemes with different model selection procedures. It turns out that the most effective scheme is based on least squares, with a penalty term of a recently developed form called the "elastic net". Key components in the algorithm are the integration of expression data from other experimental conditions than those presented for the challenge and the utilization of transcription factor binding data for guiding the inference process towards known interactions. Of importance is also a cross-validation procedure where each form of external data is used only to the extent it increases the expected performance. Conclusions/Significance Our algorithm proves both the possibility to extract information from large-scale expression data concerning prediction of gene levels, as well as the benefits of integrating different data sources for improving the inference. We believe the former is an important message to those still hesitating on the possibilities for computational approaches, while the latter is part of an important way forward for the future development of the field of computational systems biology.