Comparisons between normal individuals and patients are fundamental to improving our pathophysiological models of psychiatric disorders and promoting the development of new treatments. These comparisons are possible by focusing on the basic constituents of human behavior at different levels of organization. This chapter discusses the advantages of exploring psychophysiological, neurophysiological, and psychophysical strategies for the identification of endophenotypes shared by patients with different diagnosis and normal individuals. An integrative but experimentally viable approach to cognitive functions like attention, emotions, decision making, balance control, and social cognition is discussed. The use of new methodologies based on virtual reality for functional studies are also presented. The objective is to demonstrate that the search for new drugs, the improvement of diagnostic systems, and the identification of new endophenotypes are simultaneous and inseparable processes. The efficiency of this search depends on a close integration of pharmacological, cognitive, and neurophysiological strategies in clinical and experimental investigations.