Consequently, we produced two graphs that show real stock market returns. They take a 10-year portfolio and ask "what is the compounded rate of return over that 10-year window?" The two graphs reflect the inclusion of distributions (generally dividends, but including other direct payouts to shareholders). Within each graph there are four lines: two nominal returns, and two corresponding real returns, crossed with equally-weighted returns vs. value-weighted returns. The idea behind value-weighted returns is that it reflects the return if you had to hold the market portfolio: more money in larger market caps, less money in smaller market caps. The equal-weighted simply buys $1/(Total Number of Stocks) of every stock, rather than $1*(Company Market Cap)/(Market Market Cap).
The four numbers at the bottom of each graph are the average compounded 10-year growth rate. So, for instance, if you purchased $1 in stock, split evenly across all companies in the NYSE/NASDAQ/AMEX in March 2003 and held it for 10 years through to March 2013 (our final data point), reinvesting dividends all the way and re-balancing each month, you would have received an compounded yearly return of about 11.7% (click to enlarge). Without including dividends, it would have been about 5% (see second graph below).
While a graph excluding distributions is less informative, it helps some understand why their personal calculations based only off price are too low (click to enlarge).