Complex trait genome-wide association studies (GWAS) provide an efficient strategy for evaluating large numbers of common variants in large numbers of individuals and for identifying trait-associated variants. Nevertheless, GWAS often leave much of the trait heritability unexplained. We hypothesized that some of this unexplained heritability might be due to common and rare variants that reside in GWAS identified loci but lack appropriate proxies in modern genotyping arrays. To assess this hypothesis, we re-examined 7 genes (APOE, APOC1, APOC2, SORT1, LDLR, APOB, and PCSK9) in 5 loci associated with low-density lipoprotein cholesterol (LDL-C) in multiple GWAS. For each gene, we first catalogued genetic variation by re-sequencing 256 Sardinian individuals with extreme LDL-C values. Next, we genotyped variants identified by us and by the 1000 Genomes Project (totaling 3,277 SNPs) in 5,524 volunteers. We found that in one locus (PCSK9) the GWAS signal could be explained by a previously described low-frequency variant and that in three loci (PCSK9, APOE, and LDLR) there were additional variants independently associated with LDL-C, including a novel and rare LDLR variant that seems specific to Sardinians. Overall, this more detailed assessment of SNP variation in these loci increased estimates of the heritability of LDL-C accounted for by these genes from 3.1% to 6.5%. All association signals and the heritability estimates were successfully confirmed in a sample of ∼10,000 Finnish and Norwegian individuals. Our results thus suggest that focusing on variants accessible via GWAS can lead to clear underestimates of the trait heritability explained by a set of loci. Further, our results suggest that, as prelude to large-scale sequencing efforts, targeted re-sequencing efforts paired with large-scale genotyping will increase estimates of complex trait heritability explained by known loci.