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The efficient implementation of function calls and non-local control transfers is a critical part of modern language implementations and is important in the implementation of everything from recursion, higher-order functions, concurrency and coroutines, to task-based parallelism. In a compiler, these features can be supported by a variety of mechanisms, including call stacks, segmented stacks, and heap-allocated continuation closures. An implementor of a high-level language with advanced control features might ask the question "what is the best choice for my implementation?" Unfortunately, the current literature does not provide much guidance, since previous studies suffer from various flaws in methodology and are outdated for modern hardware. In the absence of recent, well-normalized measurements and a holistic overview of their implementation specifics, the path of least resistance when choosing a strategy is to trust folklore, but the folklore is also suspect. This paper attempts to remedy this situation by providing an "apples-to-apples" comparison of six different approaches to implementing call stacks and continuations. This comparison uses the same source language, compiler pipeline, LLVM-backend, and runtime system, with the only differences being those required by the differences in implementation strategy. We compare the implementation challenges of the different approaches, their sequential performance, and their suitability to support advanced control mechanisms, including supporting heavily threaded code. In addition to the comparison of implementation strategies, the paper's contributions also include a number of useful implementation techniques that we discovered along the way.