To better characterize how variation in regulatory sequences drives divergence in gene expression, we undertook a systematic study of transcription factor binding and gene expression in blastoderm embryos of four species, which sample much of the diversity in the 40 million-year old genus Drosophila: D. melanogaster, D. yakuba, D. pseudoobscura and D. virilis. We compared gene expression, measured by mRNA-seq, to the genome-wide binding, measured by ChIP-seq, of four transcription factors involved in early anterior-posterior patterning. We found that mRNA levels are much better conserved than individual transcription factor binding events, and that changes in a gene's expression were poorly explained by changes in adjacent transcription factor binding. However, highly bound sites, sites in regions bound by multiple factors and sites near genes are conserved more frequently than other binding, suggesting that a considerable amount of transcription factor binding is weakly or non-functional and not subject to purifying selection. © 2013 Paris et al.