This paper examines the impact of oil price uncertainty shocks on economic activity. To do so, we define the uncertainty shock as the unanticipated component of oil price fluctuations. We find this unanticipated component has a significantly negative and long-lasting impact on economic activity, with its cumulative effect on the US economy being much larger compared to that of popular uncertainty proxies such as stock market volatility, macroeconomic uncertainty and Economic Policy Uncertainty. Unlike our preferred measure of oil price uncertainty, volatility and spikes in oil futures prices present only a small and transitory effect on the real economy. Overall, our findings show that the US macroeconomy is significantly impaired when the degree of oil price unpredictability rises, while it is relatively immune to predictable fluctuations in the oil market.