Suppose an urn contains N balls that are green and red.  You want 
to estimate p = proportion of green balls.  You could:

1) Sample n balls with replacement and calculate
phat1 = sample proportion of green balls.

2) Sample n balls without replacement and calculate
phat2 = sample proportion of green balls.

But, comparing the variances of the estimators:

Var(phat1) = p(1-p)/n
Var(phat2) = p(1-p)/n * (N-n)/(N-1)

Thus, it is always the case that sampling without replacement
leads to an estimator with a smaller variance.  This may surprise
some folks.

Jason
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