Patients with cancer experience high levels of symptom distress. Current measures of symptoms generally weight the importance of each symptom equally, and do not generally address the relative importance of different symptoms to patients. The purpose of this pilot study was to explore whether the assumption of equal weighting is warranted in measurements of symptom distress. Consecutive patients presenting with primary lung cancer at the Lung Medicine Unit of one Swedish hospital completed the Symptom Distress Scale and a Thurstone scale eliciting patients’ weightings of the symptoms’ relative importance three times: after first contact with the unit, then 1 and 2 months later. The results show that subjects weighted some symptoms as significantly more important than others, and the ordering of symptoms was found to differ by intensity and perceived importance in this group. Outlook was the symptom rated most important at T1. Fatigue received the highest intensity score, but ranked second lowest in importance. Kendall’s coefficient showed minimal agreement among these patients as to the specific order for the weighting of the importance of symptoms. In addition to theoretical relevance, this issue is clinically relevant in selecting symptoms that should be the focus of intervention and in determining how the success of interventions should be judged.