Changes in transcriptional regulation play an important role in the genetic basis for evolutionary change. Here I review a growing body of literature that seeks to determine the forces governing the non-coding regulatory sequences underlying these changes. I address the challenges present in studying natural selection without the familiar structure and regularity of protein-coding sequences, but show that most tests of neutrality that have been used for coding regions are applicable to non-coding regions, albeit with some caveats. While some experimental investment is necessary to identify heritable regulatory variation, the most basic inferences about selection require very little functional information. A growing body of research on cis-regulatory variation has uncovered all the forms of selection common to coding regions, in addition to novel forms of selection. An emerging pattern seems to be the ubiquity of local adaptation and balancing selection, possibly due to the greater freedom organisms have to fine-tune gene expression without changing protein function. It is clear from multiple single locus and whole genome studies of non-coding regulatory DNA that the effects of natural selection reach far beyond the start and stop codons.