We compare different methods for performing analytical continuation of spectral data from the imaginary time or frequency axis to the real frequency axis for the optical conductivity sigma(omega). We compare the maximum entropy (MaxEnt), singular value decomposition (SVD), sampling and Pade methods for analytical continuation. We also study two direct methods for obtaining sigma(0). For the MaxEnt approach we focus on a recent modification. The data are split up in batches, a separate MaxEnt calculation is done for each batch and the results are averaged. For the problems studied here, we find that typically the SVD, sampling and modified MaxEnt methods give comparable accuracy, while the Pade approximation is usually less reliable. ; Comment: 10 pages, 7 figures