The desire to know what the future holds is a powerful motivator in everyday life, but it is unknown how this desire is created by neurons in the brain. Here we show that when macaque monkeys are offered a water reward of variable magnitude, they seek advance information about its size. Furthermore, the same midbrain dopamine neurons that signal the expected amount of water also signal the expectation of information, in a manner that is correlated with the strength of the animal's preference. Our data show that single dopamine neurons process both primitive and cognitive rewards, and suggest that current theories of reward-seeking must be revised to include information-seeking.