Protein folding stands as one of the major interdisciplinary challenges of the last fifteen years, involving biology, chemistry, medicine and physics. In this book solvent effects, and the related hydrophobic effect, on proteins are investigated. Using a simple lattice model of proteins, in which the solvent is semi-explicitly taken into account, thermodynamical quantities can be investigated and the crucial role the solvent plays in protein folding can be demonstrated. Of particular relevance is our observation that a simple model, in which the potential energy is described in terms of the interactions between amino-acids only, does not correctly reproduce solvent effects. Approaches like this, in which solvent effects are treated implicitly, are commonly employed in many of more sophisticated models for protein folding dynamics. Our results are then of great importance as they suggest the treatment of the solvent in these models may need to be re-examined.