We report a systematic study of the first and second hyperpolarizabilities of several small molecules at a consistent level of theory and basis sets. Coupled cluster (CC) methods for correlation, analytical high-order time dependent Hartree-Fock (TDHF) theory for dispersion effects, and polarizability-consistent basis sets give agreement to about 10% between the calculated hyperpolarizabilities and the gas phase experiments for the nonpolar molecules, H2, N2, CO2, and C2H4, and effectively nonpolar CO. Results for the polar molecules FH, H2O, NH3, and H2S are improved by adding lone-pair basis functions. For H2O and NH3 there is good (approximately 10%) agreement with experiment. However, a approximately 20% difference between experiment and theory for the FH molecule persists; this difference is discussed in some detail.