The authors describe the Pennies for Milk exercise, a participative classroom experience in which students generate a regression to the mean effect within the context of simulated household milk purchases. Regression to the mean is a ubiquitous threat for marketing researchers and managers but is often hard for students to understand. The Pennies for Milk exercise provides students with an intuitive understanding of regression to the mean and gives instructors a segue to discuss marketplace phenomena likely to be governed by such effects. Details for implementing the exercise are provided, as is a summary of key instructional foci.