The World Wide Web is witnessing an increase in the amount of structured content - vast heterogeneous collections of structured data are on the rise due to the Deep Web, annotation schemes like Flickr, and sites like Google Base. While this phenomenon is creating an opportunity for structured data management, dealing with heterogeneity on the web-scale presents many new challenges. In this paper, we highlight these challenges in two scenarios - the Deep Web and Google Base. We contend that traditional data integration techniques are no longer valid in the face of such heterogeneity and scale. We propose a new data integration architecture, PAYGO, which is inspired by the concept of dataspaces and emphasizes pay-as-you-go data management as means for achieving web-scale data integration.