One of the basic motives for saving is the accumulation of wealth to ensure future welfare. Both introspection and extant research on consumption insurance find that people face substantial risks that they do not fairly pool. A simple decomposition that characterizes the importance of precautionary saving in the US economy is presented. This decomposition is used as an organizing framework to present four main findings: 1. the concavity of the consumption policy rule, 2. the importance of precautionary saving for life-cycle saving and wealth accumulation, 3. the contribution of changes in risk to fluctuations in aggregate consumption, and 4. the significant impact of incomplete markets on aggregate fluctuations in calibrated general-equilibrium models. The study is concluded with directions for future research.