Robins introduced marginal structural models (MSMs) and inverse probability of treatment weighted (IPTW) estimators for the causal effect of a time-varying treatment on the mean of repeated measures. We investigate the sensitivity of IPTW estimators to unmeasured confounding. We examine a new framework for sensitivity analyses based on a nonidentifiable model that quantifies unmeasured confounding in terms of a sensitivity parameter and a user-specified function. We present augmented IPTW estimators of MSM parameters and prove their consistency for the causal effect of an MSM, assuming a correct confounding bias function for unmeasured confounding. We apply the methods to assess sensitivity of the analysis of Hernán et al., who used an MSM to estimate the causal effect of zidovudine therapy on repeated CD4 counts among HIV-infected men in the Multicenter AIDS Cohort Study. Under the assumption of no unmeasured confounders, a 95 per cent confidence interval for the treatment effect includes zero. We show that under the assumption of a moderate amount of unmeasured confounding, a 95 per cent confidence interval for the treatment effect no longer includes zero. Thus, the analysis of Hernán et al. is somewhat sensitive to unmeasured confounding. We hope that our research will encourage and facilitate analyses of sensitivity to unmeasured confounding in other applications.