Genome-wide association studies are providing insight into the genetic basis of common complex diseases: more than 1150 genetic loci [2165 unique single nucleotide polymorphisms (SNPs)] have recently been associated to 159 complex diseases. The hunt for genes contributing to immune-related diseases has been particularly successful in celiac disease, for example, with 27 genome-wide significantly associated loci identified so far. One of the current challenges is how to move from a genetic association with a disease to finding disease-associated genes and causal variants, as a step towards understanding the underlying disease process. About 50% of disease-associated SNPs affect the expression of nearby genes (so-called expression quantitative traits loci or eQTLs) and these can provide clues for finding causal variants. Although eQTLs can be useful, fine mapping and sequencing are required to refine the association signal. Ultimately, sophisticated study designs will be needed to find the causal variants involved in complex diseases. In this review, we use celiac disease as an example to describe the different aspects that need to be considered on the path from genetic association to disease-causing variants.