We describe a multistage approach to identify single nucleotide polymorphisms (SNPs) associated with neuroticism, a personality trait that shares genetic determinants with major depression and anxiety disorders. Whole genome association with 452 574 SNPs was performed on DNA pools from approximately 2000 individuals selected on extremes of neuroticism scores from a cohort of 88 142 people from southwest England. The most significant SNPs were then genotyped on independent samples to replicate findings. We were able to replicate association of one SNP within the PDE4D gene in a second sample collected by our laboratory and in a family-based test in an independent sample; however, the SNP was not significantly associated with neuroticism in two other independent samples. We also observed an enrichment of low P-values in known regions of copy number variations. Simulation indicates that our study had approximately 80% power to identify neuroticism loci in the genome with odds ratio (OR)>2, and approximately 50% power to identify small effects (OR=1.5). Since we failed to find any loci accounting for more than 1% of the variance, the heritability of neuroticism probably arises from many loci each explaining much less than 1%. Our findings argue the need for much larger samples than anticipated in genetic association studies and that the biological basis of emotional disorders is extremely complex.