The ability to detect and learn about the predictive relations existing between events in the world is essential for adaptive behavior. It allows us to use past events to predict the future and to adjust our behavior accordingly. Pavlovian fear conditioning allows anticipation of sources of danger in the environment. It guides attention away from poorer predictors toward better predictors of danger and elicits defensive behavior appropriate to these threats. This article reviews the differences between learning about predictive relations and learning about contiguous relations in Pavlovian fear conditioning. It then describes behavioral approaches to the study of these differences and to the examination of subtle variations in the nature and consequences of predictive learning. Finally, it reviews recent data from rodent and human studies that have begun to identify the neural mechanisms for direct and indirect predictive fear learning. (Contains 1 table and 3 figures.)