Recent genome-wide association studies have demonstrated that common genetic variants in a region of chromosome 9p21 confer risk of coronary artery disease (CAD) and other atherosclerotic conditions. Although the absolute increase in risk is small (some 20–30% increase in risk of CAD per copy of the deleterious alleles), the common occurrence of the variants means that their effect on the population risk of disease is estimated to be substantial. Studies investigating the relationship between risk variants and both “classical” and “emerging” atherosclerotic risk factors have found no evidence of association. This suggests that the effect of the 9p21 locus on atherosclerotic risk is mediated via a hitherto unknown pathway potentially amenable to therapeutic modulation. Investigation of potential disease mechanisms at this locus is therefore a focus of intense interest. In this review, we discuss the progress that has been made in the study of mechanisms and highlight the outstanding research questions.