In this paper I examine the empirical importance of accounting for heterogeneity (and selection) in the estimation of the returns to schooling and in the evaluation of education policy. I study white males and females in the National Longitudinal Survey of Youth and High School and Beyond, and white males in the Panel Study of Income Dynamics. I find that, across datasets, heterogeneity (and selection) in returns is an empirically relevant phenomenon. The return to schooling for the average student in college is systematically above the return to schooling for the average individual indifferent between going to college or not (marginal individual). It is also generally above the return for individuals induced to go to college by different tuition subsidies.