Abstract: For several decades now, Bayesian inference techniques have been applied to theories of particle physics, cosmology and astrophysics to obtain the probability density functions of their free parameters. In this study, we review and compare a wide range of Markov chain Monte Carlo (MCMC) and nested sampling techniques to determine their relative efficacy on functions that resemble those encountered most frequently in the particle astrophysics literature. Our first series of tests explores a series of high-dimensional analytic test functions that exemplify particular challenges, for example highly multimodal posteriors or posteriors with curving degeneracies. We then investigate two real physics examples, the first being a global fit of the Lambda CDM model using cosmic microwave background data from the Planck experiment, and the second being a global fit of the Minimal Supersymmetric Standard Model using a wide variety of collider and astrophysics data. We show that several examples widely thought to be most easily solved using nested sampling approaches can in fact be more efficiently solved using modern MCMC algorithms, but the details of the implementation matter. Furthermore, we also provide a series of useful insights for practitioners of particle astrophysics and cosmology.