Functional genomics data has the potential to increase GWAS power by identifying SNPs that have a higher prior probability of association. Here, we introduce a method that leverages polygenic functional enrichment to incorporate coding, conserved, regulatory, and LD-related genomic annotations into association analyses. We show via simulations with real genotypes that the method, functionally informed novel discovery of risk loci (FINDOR), correctly controls the false-positive rate at null loci and attains a 9%-38% increase in the number of independent associations detected at causal loci, depending on trait polygenicity and sample size. We applied FINDOR to 27 independent complex traits and diseases from the interim UK Biobank release (average N = 130K). Averaged across traits, we attained a 13% increase in genome-wide significant loci detected (including a 20% increase for disease traits) compared to unweighted raw p values that do not use functional data. We replicated the additional loci in independent UK Biobank and non-UK Biobank data, yielding a highly statistically significant replication slope (0.66-0.69) in each case. Finally, we applied FINDOR to the full UK Biobank release (average N = 416K), attaining smaller relative improvements (consistent with simulations) but larger absolute improvements, detecting an additional 583 GWAS loci. In conclusion, leveraging functional enrichment using our method robustly increases GWAS power.