The distribution of effect sizes of adaptive substitutions has been central to evolutionary biology since the modern synthesis. Early theory proposed that because large-effect mutations have negative pleiotropic consequences, only small-effect mutations contribute to adaptation. More recent theory suggested instead that large-effect mutations could be favoured when populations are far from their adaptive peak. Here we suggest that the distributions of effect sizes are expected to differ among study systems, reflecting the wide variation in evolutionary forces and ecological conditions experienced in nature. These include selection, mutation, genetic drift, gene flow, and other factors such as the degree of pleiotropy, the distance to the phenotypic optimum, whether the optimum is stable or moving, and whether new mutation or standing genetic variation provides the source of adaptive alleles. Our goal is to review how these factors might affect the distribution of effect sizes and to identify new research directions. Until more theory and empirical work is available, we feel that it is premature to make broad generalizations about the effect size distribution of adaptive substitutions important in nature.