I introduce and test for preference for simplicity in choice under risk. I characterize the theory axiomatically, and derive its properties and unique predictions relative to canonical models. I design and run theoretically-motivated experiments which document that people value simplicity in ways not fully captured by existing models including expected utility theory, cumulative prospect theory, prospect theory, rational inattention, sparsity, salience, or probability weighting that differs by number of outcomes. Participants’ risk premia increase as complexity increases, holding moments fixed; their dominance violations increase in complexity; their behavior is predicted by simplicity's characterizing axiom; and their complexity aversion is heterogeneous in cognitive ability. I generalize the theory to capture not only cardinality, but also broader measures of complexity including obfuscation or language effects.