Imagine that a few seconds ago you called a restaurant to book a reservation and were placed on hold. How soon do you expect to be helped? Are you having any difficulty waiting? Now imagine 5 minutes have gone by and you are still hearing hold music. Is it getting more difficult? Have your expectations changed? How much longer will you give them? Voluntary persistence toward delayed rewards has often been framed, in the psychological literature, as a self-control problem. This view presumes that it is generally beneficial to direct one's behavior toward valuable prospects in the future, but that the fallible nature of self-control makes people sometimes succumb to immediate temptations instead. In laboratory studies, individuals who wait longer for delayed rewards have been deemed to possess greater self-control capacity. In real life, though, how long it is worth holding out for future rewards can be a more vexed question. Not all long-run rewards is complicated by the fact that future events are uncertain in both their substance and their timing. When it comes to choosing how long to wait for everything from city buses to customer service representatives, decision makers can as easily err by waiting too long--chasing sunk costs-- as by waiting too little. In this chapter we review research suggesting that the challenge of delaying gratification does not emerge merely from psychological limitations but instead reflects the genuine complexity of the environments in which real-world decisions take place.