Complexity and uncertainty in modern robots and other autonomous systems make it difficult to design controllers for such systems that can achieve desired levels of precision and robustness. Therefore learning methods are being incorporated into controllers for such systems, thereby providing the adaptibility necessary to meet the performance demands of the task. We argue that for learning tasks arising frequently in control applications, the most useful methods in practice probably are those we call direct associative reinforcement learning methods. We describe direct reinforcement learning methods and also illustrate with an example the utility of these methods for learning skilled robot control under uncertainty.