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Epigenetic researchers often evaluate DNA methylation as a potential mediator of the effect of social/environmental exposures on a health outcome. Modern statistical methods for jointly evaluating many mediators have not been widely adopted. We compare seven methods for high-dimensional mediation analysis with continuous outcomes through both diverse simulations and analysis of DNAm data from a large multi-ethnic cohort in the United States, while providing an R package for their seamless implementation and adoption. Among the considered choices, the best-performing methods for detecting active mediators in simulations are the Bayesian sparse linear mixed model (BSLMM) and high-dimensional mediation analysis (HDMA); while the preferred methods for estimating the global mediation effect are high-dimensional linear mediation analysis (HILMA) and principal component mediation analysis (PCMA). We provide guidelines for epigenetic researchers on choosing the best method in practice and offer suggestions for future methodological development.