Rayleigh scattering is used frequently in Monte Carlo simulation of multiple scattering. The Rayleigh phase function is quite simple, and one might expect that it should be simple to importance sample it efficiently. However, there seems to be no one good way of sampling it in the literature. This paper provides the details of several different techniques for importance sampling the Rayleigh phase function, and it includes a comparison of their performance as well as hints toward efficient implementation.