Major depression is one of the most common and most debilitating disorders in the world. A wealth of data indicate that additive genetic effects contribute to at least 30% of the variance in liability to major depression, yet attempts to identify the molecular basis of susceptibility using standard family based linkage and genetic association methodologies have had limited success. Alternative approaches have recently been advocated, such as the inclusion of gene by environment interactions and the use of endophenotypes. Our own data indicate that the genetic architecture of affective illness is more complex than expected. A whole genome association study of neuroticism, a personality trait that shares many of the same susceptibility loci as depression, reveals that the individual effect sizes are less than 1%. Larger sample sizes and more sophisticated analytical approaches will be needed than have hitherto been applied.