A genome wide association study (GWAS) typically results in a few highly significant 'hits' and a much larger set of suggestive signals ('near-hits'). The latter group are expected to be a mixture of true and false associations. One promising strategy to help separate these is to use functional annotations for prioritisation of variants for follow-up. A key task is to determine which annotations might prove most valuable. We address this question by examining the functional annotations of previously published GWAS hits. We explore three annotation categories: non-synonymous SNPs (nsSNPs), promoter SNPs and cis expression quantitative trait loci (eQTLs) in open chromatin regions. We demonstrate that GWAS hit SNPs are enriched for these three functional categories, and that it would be appropriate to provide a higher weighting for such SNPs when performing Bayesian association analyses. For GWAS studies, our analyses suggest the use of a Bayes Factor of about 4 for cis eQTL SNPs within regions of open chromatin, 3 for nsSNPs and 2 for promoter SNPs.