The problem of multiple testing is an important aspect of genome-wide association studies, and will become more important as marker densities increase. The problem has been tackled with permutation and false discovery rate procedures and with Bayes factors, but each approach faces difficulties that we briefly review. In the current context of multiple studies on different genotyping platforms, we argue for the use of truly genome-wide significance thresholds, based on all polymorphisms whether or not typed in the study. We approximate genome-wide significance thresholds in contemporary West African, East Asian and European populations by simulating sequence data, based on all polymorphisms as well as for a range of single nucleotide polymorphism (SNP) selection criteria. Overall we find that significance thresholds vary by a factor of >20 over the SNP selection criteria and statistical tests that we consider and can be highly dependent on sample size. We compare our results for sequence data to those derived by the HapMap Consortium and find notable differences which may be due to the small sample sizes used in the HapMap estimate.