Biomarker discovery from high-dimensional data is a crucial problem with enormous applications in biology and medicine. It is also extremely challenging from a statistical viewpoint, but surprisingly few studies have investigated the relative strengths and weaknesses of the plethora of existing feature selection methods. In this study we compare 32 feature selection methods on 4 public gene expression datasets for breast cancer prognosis, in terms of predictive performance, stability and functional interpretability of the signatures they produce. We observe that the feature selection method has a significant influence on the accuracy, stability and interpretability of signatures. Surprisingly, complex wrapper and embedded methods generally do not outperform simple univariate feature selection methods, and ensemble feature selection has generally no positive effect. Overall a simple Student's t-test seems to provide the best results.