Evidence-based medicine is the application of scientific evidence to clinical practice. This article discusses the difficulties of applying global evidence (“average effects” measured as population means) to local problems (individual patients or groups who might depart from the population average). It argues that the benefit or harm of most treatments in clinical trials can be misleading and fail to reveal the potentially complex mixture of substantial benefits for some, little benefit for many, and harm for a few. Heterogeneity of treatment effects reflects patient diversity in risk of disease, responsiveness to treatment, vulnerability to adverse effects, and utility for different outcomes. Recognizing these factors, researchers can design studies that better characterize who will benefit from medical treatments, and clinicians and policymakers can make better use of the results.