Reverse Transcriptase quantitative Polymerase Chain Reaction (RT-qPCR) is the current gold standard tool for the study of gene expression. This technique is highly dependent on the validation of reference genes, which exhibit stable expression levels among experimental conditions. Often, reference genes are assumed to be stable a priori without a rigorous test of gene stability. However, such an oversight can easily lead to misinterpreting expression levels of target genes if the references genes are in fact not stable across experimental conditions. Even though most gene expression studies focus on just one species, comparative studies of gene expression among closely related species can be very informative from an evolutionary perspective. In our study, we have attempted to find stable reference genes for four closely related species of grasshoppers (Orthoptera: Acrididae) that together exhibit a spectrum of density-dependent phenotypic plasticity. Gene stability was assessed for eight reference genes in two tissues, two experimental conditions and all four species. We observed clear differences in the stability ranking of these reference genes, both between tissues and between species. Additionally, the choice of reference genes clearly influenced the results of a gene expression experiment. We offer suggestions for the use of reference genes in further studies using these four species, which should be taken as a cautionary tale for future studies involving RT-qPCR in a comparative framework.