We generalize the concept of a weak value of a quantum observable to cover arbitrary real positive operator measures. We show that the definition is operationally meaningful in the sense that it can be understood within the quantum theory of sequential measurements. We then present a detailed analysis of the recent experiment of Lundeen et al. concerning the reconstruction of the state of a photon using weak measurements. We compare their method with the reconstruction method through informationally complete phase space measurements and show that it lacks the generality of the phase space method. In particular, a completely unknown state can never be reconstructed using the method of weak measurements.