As of today, orthogonal frequency-division multiplexing (OFDM) has been the dominant technique in broadband transmission systems. However, for the application in cognitive radios, the sidelobes of rectangularly pulsed OFDM signals must be well suppressed to satisfy the rigorous spectral masks. In this context, filter-bank based multi-carrier (FBMC) transmission, which allows designing prototype filters for signal pulse shaping, is considered to be more effective. In this article, different sidelobe suppression schemes for OFDM and pulse-shaped FBMC are comparatively investigated with respect to their out-of-band power radiation and their demand in computational complexity. Our results reveal that FBMC, thanks to the excellent timefrequency localization of the pulse shape, allows for a superior isolation of the transmit signal in frequency, enabling to achieve the minimal out-of-band power leakage for the operation in both contiguous and non-contiguous spectrum. Moreover, the additional complexity required for FBMC compared to the other schemes is very moderate.