As algorithms are increasingly used to make important decisions pertaining to individuals, algorithmic discrimination is becoming a prominent concern. The seminal work of Dwork et al. [ITCS 2012] introduced the notion of individual fairness (IF): given a task-specific similarity metric, every pair of similar individuals should receive similar outcomes. In this work, we study fairness when individuals have diverse preferences over the possible outcomes. We show that in such settings, individual fairness can be too restrictive: requiring individual fairness can lead to less-preferred outcomes for the very individuals that IF aims to protect (e.g. a protected minority group). We introduce and study a new notion of preference-informed individual fairness (PIIF), a relaxation of individual fairness that allows for outcomes that deviate from IF, provided the deviations are in line with individuals' preferences. We show that PIIF can allow for solutions that are considerably more beneficial to individuals than the best IF solution. We further show how to efficiently optimize any convex objective over the outcomes subject to PIIF, for a rich class of individual preferences. Motivated by fairness concerns in targeted advertising, we apply this new fairness notion to the multiple-task setting introduced by Dwork and Ilvento [ITCS 2019]. We show that, in this setting too, PIIF can allow for considerably more beneficial solutions, and we extend our efficient optimization algorithm to this setting.