Recently, the amount of high-dimensional data has exploded, creating new analytical challenges for human genetics. Furthermore, much evidence suggests that common complex diseases may be due to complex etiologies such as gene-gene interactions, which are difficult to identify in high-dimensional data using traditional statistical approaches. Data-mining approaches are gaining popularity for variable selection in association studies, and one of the most commonly used methods to evaluate potential gene-gene interactions is Multifactor Dimensionality Reduction (MDR). Additionally, a number of penalized regression techniques, such as Lasso, are gaining popularity within the statistical community and are now being applied to association studies, including extensions for interactions. In this study, we compare the performance of MDR, the traditional lasso with L1 penalty (TL1), and the group lasso for categorical data with group-wise L1 penalty (GL1) to detect gene-gene interactions through a broad range of simulations. We find that each method has both advantages and disadvantages, and relative performance is context dependent. TL1 frequently over-fits, identifying false positive as well as true positive loci. MDR has higher power for epistatic models that exhibit independent main effects; for both Lasso methods, main effects tend to dominate. For purely epistatic models, GL1 has the best performance for lower minor allele frequencies, but MDR performs best for higher frequencies. These results provide guidance of when each approach might be best suited for detecting and characterizing interactions with different mechanisms.