Exome sequencing is emerging as a popular approach to study the effect of rare coding variants on complex phenotypes. The promise of exome sequencing is grounded in theoretical population genetics and in empirical successes of candidate gene sequencing studies. Many projects aimed at common diseases are underway, and their results are eagerly anticipated. In this Perspective, using exome sequencing data from 438 individuals, we discuss several aspects of exome sequencing studies that we view as particularly important. We review processing and quality control of raw sequence data, evaluate the statistical properties of exome sequencing studies, discuss rare variant burden tests to detect association to phenotypes, and demonstrate the importance of accounting for population stratification in the analysis of rare variants. We conclude that enthusiasm for exome sequencing studies of complex traits should be combined with the caution that thousands of samples may be required to reach sufficient statistical power.