Recently, several models have been proposed for smoothing risks in disease mapping. These models consider different ways of introducing both spatial and temporal dependence as well as spatio-temporal interactions. In this work, a comparison among some autoregressive, moving average, and P-spline models is performed. Firstly, brain cancer mortality data are used to analyze the degree of smoothness introduced by these models. Secondly, two separate simulation studies (one model-based and the other model-free) are carried out to evaluate the model performance in terms of bias, variability, sensitivity, and specificity. We conclude that P-spline models seem to be a good alternative to autoregressive and moving average models when analyzing highly sparse disease mapping data.