Explicit and implicit solvent models have a proven record of delivering hydration free energies of small, druglike solutes in reasonable agreement with experiment. Hydration of macromolecules, such as proteins, is to a large extent uncharted territory, with few results shedding light on quantitative consistency between different solvent models, let alone their ability to reproduce real water. In this work, based on extensive explicit solvent simulations employing TIP3P and SPC/E water models we analyze hydration free energy changes between fixed conformations of 5 diverse proteins, including large multidomain structures. For the two solvent models we find better agreement in electrostatic rather than nonpolar contributions (RMSE of 2.3 and 2.7 kcal/mol, respectively), even though absolute values of the latter are typically an order of magnitude smaller. We also highlight the importance of finite size corrections to relative protein hydration free energies, which turn out to be rather large, on the order of several kcal/mol, and are necessary for proper interpretation of results obtained under periodic boundary conditions. We further compare gathered data with predictions of the implicit solvent approach based on the Poisson equation and the surface or volume based nonpolar term. We find definitely lesser consistency than between the two explicit models (RMSE between implicit and TIP3 results of 11.3 and 8.4 kcal/mol for electrostatic and nonpolar contributions, respectively). In the process we determine the value of the protein dielectric constant and the geometric model for the dielectric boundary that provide for the best agreement. Finally, we evaluate the usefulness of surface and volume based models of nonpolar contributions to hydration free energy of large biomolecules.