DNA methylation is an epigenetic modification involved in regulatory processes such as cell differentiation during development, X-chromosome inactivation, genomic imprinting and susceptibility to complex disease. However, the dynamics of DNA methylation changes between humans and their closest relatives are still poorly understood. We performed a comparative analysis of CpG methylation patterns between 9 humans and 23 primate samples including all species of great apes (chimpanzee, bonobo, gorilla and orangutan) using Illumina Methylation450 bead arrays. Our analysis identified ∼800 genes with significantly altered methylation patterns among the great apes, including ∼170 genes with a methylation pattern unique to human. Some of these are known to be involved in developmental and neurological features, suggesting that epigenetic changes have been frequent during recent human and primate evolution. We identified a significant positive relationship between the rate of coding variation and alterations of methylation at the promoter level, indicative of co-occurrence between evolution of protein sequence and gene regulation. In contrast, and supporting the idea that many phenotypic differences between humans and great apes are not due to amino acid differences, our analysis also identified 184 genes that are perfectly conserved at protein level between human and chimpanzee, yet show significant epigenetic differences between these two species. We conclude that epigenetic alterations are an important force during primate evolution and have been under-explored in evolutionary comparative genomics.