The house mouse is a well-established model organism, particularly for studying the genetics of complex traits. However, most studies of mice use classical inbred strains, whose genomes derive from multiple species. Relatively little is known about the distribution of genetic variation among these species or how variation among strains relates to variation in the wild. We sequenced intronic regions of five X-linked loci in large samples of wild Mus domesticus and M. musculus, and we found low levels of nucleotide diversity in both species. We compared these data to published data from short portions of six X-linked and 18 autosomal loci in wild mice. We estimate that M. domesticus and M. musculus diverged <500,000 years ago. Consistent with this recent divergence, some gene genealogies were reciprocally monophyletic between these species, while others were paraphyletic or polyphyletic. In general, the X chromosome was more differentiated than the autosomes. We resequenced classical inbred strains for all 29 loci and found that inbred strains contain only a small amount of the genetic variation seen in wild mice. Notably, the X chromosome contains proportionately less variation among inbred strains than do the autosomes. Moreover, variation among inbred strains derives from differences between species as well as from differences within species, and these proportions differ in different genomic regions. Wild mice thus provide a reservoir of additional genetic variation that may be useful for mapping studies. Together these results suggest that wild mice will be a valuable complement to laboratory strains for studying the genetics of complex traits.