Author Summary Research in the field of molecular evolution is focused on understanding the genetic basis of functional differences between species. Protein coding sequences have traditionally been the focus of these studies, as the genetic code enables a detailed study of the strength of selection acting on amino acid sequences. However, from the earliest cross-species sequence comparisons, it was clear that protein sequences among closely related species are too similar to explain the observed phenotypic diversity. This led to the hypothesis that the evolution of gene regulation has played a key role in generating diversity between species. The availability of numerous complete genome sequences has made it possible to begin testing this hypothesis. In this work, the authors use an evolutionary model to identify functional divergence within transcription factor binding sites, the core functional elements involved in gene regulation. Applying this model to the baker's yeast, Saccharomyces cerevisiae, and its three closest relatives, the authors find that a substantial fraction of the ancestral binding sites have been lost in a species-specific manner. In some cases the loss of the binding site creates gene expression differences that may be indicative of species-specific changes in gene regulation. This work provides a useful computational framework that will allow further study of the conservation of cis-regulatory sequences and their role in molecular evolution.