The relative performances of different implementations of the Wang-Landau method are assessed on two classes of systems with continuous degrees of freedom, namely, two polypeptides and two atomic Lennard-Jones clusters. Parallel tempering Monte Carlo simulations serve as a reference, and we pay particular attention to the variations of the multiplicative factor f during the course of the simulation. For the systems studied, the Wang-Landau method is found to be of comparable accuracy as parallel tempering, but has significant difficulties in reproducing low-temperature transitions exhibited by the Lennard-Jones clusters at low temperature. Using a complementary order parameter and calculating a two-dimensional joint density of states significantly improves the situation, especially for the notoriously difficult LJ(38) system. However, while parallel tempering easily converges for LJ(31), we have not been able to get data of comparable accuracy with Wang-Landau multicanonical sampling.