To try and make this clear, FDR, TPR, and ROC curves are used for evaluating methods under controlled conditions. That is, we use these when we have a set of known data or on simulated data of some sort. When you are looking at an unknown/experimental dataset you can't do this. To decide what statistical analyses you should do and use you should be basing it on the literature, where people have hopefully compared the tools you are looking at using head to head.

I'll also point out that based on your response to Devon's answer where you are using F-test, t-test, etc it sounds like there is a very good chance you are not analyzing this data correctly. There are a lot of very well described software tools out there for analyzing microarray data. You should definitely use one of these tools, which a lot of very smart people with deep statistical knowledge have developed for just this purpose. Limma is a good choice. While there are tons of publications out there that have used things like T-tests on microarray data (particularly years ago) it is absolutely not an appropriate statistical tests for expression data.