How much does the intensity of purifying selection vary among populations and species? How uniform are the shifts in selective pressures across the genome? To address these questions, we took advantage of a recent, whole-genome polymorphism data set from two closely related species of yeast, Saccharomyces cerevisiae and S. paradoxus, paying close attention to the population structure within these species. We found that the average intensity of purifying selection on amino acid sites varies markedly among populations and between species. As expected in the presence of extensive weakly deleterious mutations, the effect of purifying selection is substantially weaker on single nucleotide polymorphisms (SNPs) segregating within populations than on SNPs fixed between population samples. Also in accordance with a Nearly Neutral model, the variation in the intensity of purifying selection across populations corresponds almost perfectly to simple measures of their effective size. As a first step toward understanding the processes generating these patterns, we sought to tease apart the relative importance of systematic, genome-wide changes in the efficacy of selection, such as those expected from demographic processes and of gene-specific changes, which may be expected after a shift in selective pressures. For that purpose, we developed a new model for the evolution of purifying selection between populations and inferred its parameters from the genome-wide data using a likelihood approach. We found that most, but not all changes seem to be explained by systematic shifts in the efficacy of selection. One population, the sake-derived strains of S. cerevisiae, however, also shows extensive gene-specific changes, plausibly associated with domestication. These findings have important implications for our understanding of purifying selection as well as for estimates of the rate of molecular adaptation in yeast and in other species.