Private collection of statistics from a large distributed population is an important problem, and has led to large scale deployments from several leading technology companies. The dominant approach requires each user to randomly perturb their input, leading to guarantees in the local differential privacy model. In this paper, we place the various approaches that have been suggested into a common framework, and perform an extensive series of experiments to understand the tradeoffs between different implementation choices. Our conclusion is that for the core problems of frequency estimation and heavy hitter identification, careful choice of algorithms can lead to very effective solutions that scale to millions of users