Positive natural selection is the force that drives the increase in prevalence of advantageous traits, and it has played a central role in our development as a species. Until recently, the study of natural selection in humans has largely been restricted to comparing individual candidate genes to theoretical expectations. The advent of genome-wide sequence and polymorphism data brings fundamental new tools to the study of natural selection. It is now possible to identify new candidates for selection and to reevaluate previous claims by comparison with empirical distributions of DNA sequence variation across the human genome and among populations. The flood of data and analytical methods, however, raises many new challenges. Here, we review approaches to detect positive natural selection, describe results from recent analyses of genome-wide data, and discuss the prospects and challenges ahead as we expand our understanding of the role of natural selection in shaping the human genome.