While much work has focused on efficient processing of Big Data, little work considers how to understand them. In this paper, we describe Helix, a system for guided exploration of Big Data. Helix provides a unified view of sources, ranging from spreadsheets and XML files with no schema, all the way to RDF graphs and relational data with well-defined schemas. Helix users explore these heterogeneous data sources through a combination of keyword searches and navigation of linked web pages that include information about the schemas, as well as data and semantic links within and across sources. At a technical level, the paper describes the research challenges involved in developing Helix, along with a set of real-world usage scenarios and the lessons learned.