In this work we compare and characterize the behavior of Langevin and Dissipative Particle Dynamics (DPD) thermostats in a broad range of non-equilibrium simulations of polymeric systems. Polymer brushes in relative sliding motion, polymeric liquids in Poiseuille and Couette flows, and brush-melt interfaces are used as model systems to analyze the efficiency and limitations of different Langevin and DPD thermostat implementations. Widely used coarse-grained bead-spring models under good and poor solvent conditions are employed to assess the effects of the thermostats. We considered equilibrium, transient, and steady state examples for testing the ability of the thermostats to maintain constant temperature and to reproduce the underlying physical phenomena in non-equilibrium situations. The common practice of switching-off the Langevin thermostat in the flow direction is also critically revisited. The efficiency of different weight functions for the DPD thermostat is quantitatively analyzed as a function of the solvent quality and the non-equilibrium situation.