  Gravitational entropy arises in string theory via coarse graining over an
underlying space of microstates. In this review we would like to address the
question of how the classical black hole geometry itself arises as an effective
or approximate description of a pure state, in a closed string theory, which
semiclassical observers are unable to distinguish from the "naive" geometry. In
cases with enough supersymmetry it has been possible to explicitly construct
these microstates in spacetime, and understand how coarse-graining of
non-singular, horizon-free objects can lead to an effective description as an
extremal black hole. We discuss how these results arise for examples in Type II
string theory on AdS_5 x S^5 and on AdS_3 x S^3 x T^4 that preserve 16 and 8
supercharges respectively. For such a picture of black holes as effective
geometries to extend to cases with finite horizon area the scale of quantum
effects in gravity would have to extend well beyond the vicinity of the
singularities in the effective theory. By studying examples in M-theory on
AdS_3 x S^2 x CY that preserve 4 supersymmetries we show how this can happen.
