In the past, considerable effort has been devoted to the development of signal processing techniques aimed at characterizing brain connectivity from signals recorded from spatially-distributed regions during normal or pathological conditions. In this paper, three families of methods (linear and nonlinear regression, phase synchronization, and generalized synchronization) are reviewed. Their performances were evaluated according to a model-based methodology in which a priori knowledge about the underlying relationship between systems that generate output signals is available. This approach allowed us to relate the interdependence measures computed by connectivity methods to the actual values of the coupling parameter explicitly represented in various models of signal generation. Results showed that: (i) some of the methods were insensitive to the coupling parameter; (ii) results were dependent on signal properties (broad band versus narrow band); (iii) there was no "ideal" method, i.e., none of the methods performed better than the other ones in all studied situations. Nevertheless, regression methods showed sensitivity to the coupling parameter in all tested models with average or good performances. Therefore, it is advised to first apply these "robust" methods in order to characterize brain connectivity before using more sophisticated methods that require specific assumptions about the underlying model of relationship. In all cases, it is recommended to compare the results obtained from different connectivity methods to get more reliable interpretation of measured quantities with respect to underlying coupling. In addition, time-frequency methods are also recommended when coupling in specific frequency sub-bands ("frequency-locking") is likely to occur as in epilepsy.