Laboratory experiments with a rock-dwelling nocturnal gecko, Oedura lesueurii, showed that retreat-site selection (and other behaviours) are affected by the interplay between thermal benefits, social advantages and avoidance of predators. Velvet geckos were highly selective in habitat choice: they preferred artificial retreat-sites that mimic the thermal properties of natural rocks in full sun rather than those that mimic rocks in full shade; mature male geckos rarely shared retreat-sites with other adult males; and these lizards strongly avoided retreat-sites covered with the scent of a natural predator (the broadheaded snake, Hoplocephalus hungaroides). After documenting these preferences, we carried out additional trials in which two or more of these factors co-occurred, as is often the case in nature. Social dominance interacted with thermal benefits in determining retreat-site selection, with smaller (subordinate) males forced to use cooler retreat-sites when larger (dominant) males were present. Avoidance of predators was a higher priority than thermoregulation: the lizards would forego a warmer retreat-site with predator scent in favour of a cooler, unscented one. There was also an interplay between social dominance and predator scent: smaller males were forced to use either predator-scented retreat-sites or no retreat-site when larger males were present. General activity levels, and the frequencies of specific behavioural acts, also shifted in response to social and predator-scent cues. Our study emphasizes the complexity of habitat-selection behaviour in these lizards, and clarifies the criteria used in retreat-site selection when (as is commonly the case) the animal must choose between conflicting priorities.