Levels of genetic diversity in finite populations are crucial in conservation and evolutionary biology. Genetic diversity is required for populations to evolve and its loss is related to inbreeding in random mating populations, and thus to reduced population fitness and increased extinction risk. Neutral theory is widely used to predict levels of genetic diversity. I review levels of genetic diversity in finite populations in relation to predictions of neutral theory. Positive associations between genetic diversity and population size, as predicted by neutral theory, are observed for microsatellites, allozymes, quantitative genetic variation and usually for mitochondrial DNA (mtDNA). However, there are frequently significant deviations from neutral theory owing to indirect selection at linked loci caused by balancing selection, selective sweeps and background selection. Substantially lower genetic diversity than predicted under neutrality was found for chromosomes with low recombination rates and high linkage disequilibrium (compared with 'normally' recombining chromosomes within species and adjusted for different copy numbers and mutation rates), including W (median 100% lower) and Y (89% lower) chromosomes, dot fourth chromosomes in Drosophila (94% lower) and mtDNA (67% lower). Further, microsatellite genetic and allelic diversity were lost at 12 and 33% faster rates than expected in populations adapting to captivity, owing to widespread selective sweeps. Overall, neither neutral theory nor most versions of the genetic draft hypothesis are compatible with all empirical results.