Generalized linear models are increasingly used for analyzing neural data, and to characterize the stimulus dependence and functional connectivity of both single neurons and neural populations. One possibility to extend the computational complexity of these models is to expand the stimulus, and possibly the representation of the spiking history into high dimensional feature spaces.When the dimension of the parameter space is large, strong regularization has to be used in order to fit GLMs to datasets of realistic size without overfitting. By imposing properly chosen priors over parameters, Bayesian inference provides an effective and principled approach for achieving regularization.