Heritability, the fraction of phenotypic variation explained by genetic variation, has been estimated for many phenotypes in a range of populations, organisms, and time points. The recent development of efficient genotyping and sequencing technology has led researchers to attempt to identify the genetic variants responsible for the genetic component of phenotype directly via GWAS. The gap between the phenotypic variance explained by GWAS results and those estimated from classical heritability methods has been termed the “missing heritability problem”. In this work, we examine modern methods for estimating heritability, which use the genotype and sequence data directly. We discuss them in the context of classical heritability methods, the missing heritability problem, and describe their implications for understanding the genetic architecture of complex phenotypes.