How well do different classification methods perform in selecting the ligands of a protein target out of large compound collections not used to train the model? Support vector machines, random forest, artificial neural networks, k-nearest-neighbor classification with genetic-algorithm-optimized feature selection, trend vectors, naïve Bayesian classification, and decision tree were used to divide databases into molecules predicted to be active and those predicted to be inactive. Training and predicted activities were treated as binary. The database was generated for the ligands of five different biological targets which have been the object of intense drug discovery efforts: HIV-reverse transcriptase, COX2, dihydrofolate reductase, estrogen receptor, and thrombin. We report significant differences in the performance of the methods independent of the biological target and compound class. Different methods can have different applications; some provide particularly high enrichment, others are strong in retrieving the maximum number of actives. We also show that these methods do surprisingly well in predicting recently published ligands of a target on the basis of initial leads and that a combination of the results of different methods in certain cases can improve results compared to the most consistent method.