With the rise of sequencing technologies, it is now feasible to assess the role rare variants play in the genetic contribution to complex trait variation. While some of the earlier targeted sequencing studies successfully identified rare variants of large effect, unbiased gene discovery using exome sequencing has experienced limited success for complex traits. Nevertheless, rare variant association studies have demonstrated that rare variants do contribute to phenotypic variability, but sample sizes will likely have to be even larger than those of common variant association studies to be powered for the detection of genes and loci. Large-scale sequencing efforts of tens of thousands of individuals, such as the UK10K Project and aggregation efforts such as the Exome Aggregation Consortium, have made great strides in advancing our knowledge of the landscape of rare variation, but there remain many considerations when studying rare variation in the context of complex traits. We discuss these considerations in this review, presenting a broad range of topics at a high level as an introduction to rare variant analysis in complex traits including the issues of power, study design, sample ascertainment, de novo variation, and statistical testing approaches. Ultimately, as sequencing costs continue to decline, larger sequencing studies will yield clearer insights into the biological consequence of rare mutations and may reveal which genes play a role in the etiology of complex traits.