Dust extinction and reddening are ubiquitous in astronomical observations and are often a major source of systematic uncertainty. We present here a study of the correlation between extinction in the Milky Way and the equivalent width of the Na I D absorption doublet. Our sample includes more than 100 high- resolution spectra from the Keck telescopes and nearly a million low-resolution spectra from the Sloan Digital Sky Survey (SDSS). We measure the correlation to unprecedented precision, constrain its shape and derive an empirical relation between these quantities with a dispersion of the order of 0.15 mag in E(B - V). From the shape of the curve of growth we further show that a typical sight line through the Galaxy, as seen within the SDSS footprint, crosses about three dust clouds. We provide a brief guide on how to best estimate extinction to extragalactic sources such as supernovae, using the Na I D absorption feature, under a variety of circumstances.