In the search for physics beyond the Standard Model, data can come from a wide variety of sources, whether it be via collider searches, direct searches for dark matter, or astrophysics and cosmology. A combination of all such data to make statistical inferences about a new physics model is known a "global fit". However, when performing statistical inference, certain philosophical choices must be made regarding the methodology used. In this talk I will discuss certain aspects of the Bayesian approach to global fitting, in particular the impact of prior choice and, in the context of Supersymmetry, its connections to the notion of "naturalness".