Interpretation of dense single nucleotide polymorphism (SNP) follow-up of genome-wide association or linkage scan signals can be facilitated by establishing expectation for the behaviour of primary mapping signals upon fine-mapping, under both null and alternative hypotheses. We examined the inferences that can be made regarding the posterior probability of a real genetic effect and considered different disease-mapping strategies and prior probabilities of association. We investigated the impact of the extent of linkage disequilibrium between the disease SNP and the primary analysis signal and the extent to which the disease gene can be physically localised under these scenarios. We found that large increases in significance (>2 orders of magnitude) appear in the exclusive domain of genuine genetic effects, especially in the follow-up of genome-wide association scans or consensus regions from multiple linkage scans. Fine-mapping significant association signals that reside directly under linkage peaks yield little improvement in an already high posterior probability of a real effect. Following fine-mapping, those signals that increase in significance also demonstrate improved localisation. We found local linkage disequiliptium patterns around the primary analysis signal(s) and tagging efficacy of typed markers to play an important role in determining a suitable interval for fine-mapping. Our findings help inform the interpretation and design of dense SNP-mapping follow-up studies, thus facilitating discrimination between a genuine genetic effect and chance fluctuation (false positive).