Genome-wide association studies (GWASs) provide an unprecedented opportunity to examine, on a large scale, the association of common genetic variants with complex diseases like type 2 diabetes (T2D) and cardiovascular disease (CVD), thus allowing the identification of new potential disease loci. Using this approach, numerous studies have associated SNPs on chromosome 9p21.3 situated near the cyclin-dependent kinase inhibitor 2A/B (CDKN2A/B) locus with the risk for coronary artery disease (CAD) and T2D. However, identifying the function of the nearby gene products (CDKN2A/B and ANRIL) in the pathophysiology of these conditions requires functional genomic studies. We review the current knowledge, from studies using human and mouse models, describing the function of CDKN2A/B gene products, which may mechanistically link the 9p21.3 risk locus with CVD and diabetes.