Pathogens have played a substantial role in human evolution, with past infections shaping genetic variation at loci influencing immune function. We selected 168 genes known to be involved in the immune response, genotyped common single nucleotide polymorphisms across each gene in three population samples (CEPH Europeans from Utah, Han Chinese from Guangxi, and Yoruba Nigerians from Southwest Nigeria) and searched for evidence of selection based on four tests for non-neutral evolution: minor allele frequency (MAF), derived allele frequency (DAF), Fst versus heterozygosity and extended haplotype homozygosity (EHH). Six of the 168 genes show some evidence for non-neutral evolution in this initial screen, with two showing similar signals in independent data from the International HapMap Project. These analyses identify two loci involved in immune function that are candidates for having been subject to evolutionary selection, and highlight a number of analytical challenges in searching for selection in genome-wide polymorphism data.