Some animal groups, such as birds, seem prone to extreme forms of sexual selection. One contributing factor may be sex linkage of genes affecting male displays and female preferences. Here we show that sex linkage can have substantial effects on the genetic correlation between these traits and consequently for Fisher's runaway and the good-genes mechanisms of sexual selection. Under some kinds of sex linkage (e.g. Z-linked preferences), a runaway is more likely than under autosomal inheritance, while under others (e.g., X-linked preferences and autosomal displays), the good-genes mechanism is particularly powerful. These theoretical results suggest empirical tests based on the comparative method.