Gaussian processes, such as Brownian motion and the Ornstein-Uhlenbeck process, have been popular models for the evolution of quantitative traits and are widely used in phylogenetic comparative methods. However, they have drawbacks that limit their utility. Here we describe new, non-Gaussian stochastic differential equation (diffusion) models of quantitative trait evolution. We present general methods for deriving new diffusion models and develop new software for fitting non-Gaussian evolutionary models to trait data. The theory of stochastic processes provides a mathematical framework for understanding the properties of current and future phylogenetic comparative methods. Attention to the mathematical details of models of trait evolution and diversification may help avoid some pitfalls when using stochastic processes to model macroevolution.