Building robust classifiers trained on data susceptible to group or subject-specific variations is a challenging pattern recognition problem. We develop hierarchical Bayesian neural networks to capture subject-specific variations and share statistical strength across subjects. Leveraging recent work on learning Bayesian neural networks, we build fast, scalable algorithms for inferring the posterior distribution over all network weights in the hierarchy. We also develop methods for adapting our model to new subjects when a small number of subject-specific personalization data is available. Finally, we investigate active learning algorithms for interactively labeling personalization data in resource-constrained scenarios. Focusing on the problem of gesture recognition where inter-subject variations are commonplace, we demonstrate the effectiveness of our proposed techniques. We test our framework on three widely used gesture recognition datasets, achieving personalization performance competitive with the state-of-the-art.