We review and discuss the importance of correlational selection (selection for optimal character combinations) in natural populations. If two or more traits subject to multivariate selection are heritable, correlational selection builds favourable genetic correlations through the formation of linkage disequilibrium at underlying loci governing the traits. However, linkage disequilibria built up by correlational selection are expected to decay rapidly (ie, within a few generations), unless correlational selection is strong and chronic. We argue that frequency-dependent biotic interactions that have 'Red Queen dynamics' (eg, host-parasite interactions, predator-prey relationships or intraspecific arms races) often fuel chronic correlational selection, which is strong enough to maintain adaptive genetic correlations of the kind we describe. We illustrate these processes and phenomena using empirical examples from various plant and animal systems, including our own recent work on the evolutionary dynamics of a heritable throat colour polymorphism in the side-blotched lizard Uta stansburiana. In particular, male and female colour morphs of side-blotched lizards cycle on five- and two-generation (year) timescales under the force of strong frequency-dependent selection. Each morph refines the other morph in a Red Queen dynamic. Strong correlational selection gradients among life history, immunological and morphological traits shape the genetic correlations of the side-blotched lizard polymorphism. We discuss the broader evolutionary consequences of the buildup of co-adapted trait complexes within species, such as the implications for speciation processes.