Inferring magnetic and thermodynamic information from spectropolarimetric observations relies on the assumption of a parameterized model atmosphere whose parameters are tuned by comparison with observations. Often, the choice of the underlying atmospheric model is based on subjective reasons. In other cases, complex models are chosen based on objective reasons (for instance, the necessity to explain asymmetries in the Stokes profiles) but it is not clear what degree of complexity is needed. The lack of an objective way of comparing models has, sometimes, led to opposing views of the solar magnetism because the inferred physical scenarios are essentially different. We present the first quantitative model comparison based on the computation of the Bayesian evidence ratios for spectropolarimetric observations. Our results show that there is not a single model appropriate for all profiles simultaneously. Data with moderate signal-to-noise ratios (S/Ns) favor models without gradients along the line of sight. If the observations show clear circular and linear polarization signals above the noise level, models with gradients along the line are preferred. As a general rule, observations with large S/Ns favor more complex models. We demonstrate that the evidence ratios correlate well with simple proxies. Therefore, we propose to calculate these proxies when carrying out standard least-squares inversions to allow for model comparison in the future.