Including quantum mechanical effects on the dynamics of nuclei in the condensed phase is challenging, because the complexity of exact methods grows exponentially with the number of quantum degrees of freedom. Efforts to circumvent these limitations can be traced down to two approaches: methods that treat a small subset of the degrees of freedom with rigorous quantum mechanics, considering the rest of the system as a static or classical environment, and methods that treat the whole system quantum mechanically, but using approximate dynamics. Here we perform a systematic comparison between these two philosophies for the description of quantum effects in vibrational spectroscopy, taking the Embedded Local Monomer (LMon) model and a mixed quantum-classical (MQC) model as representatives of the first family of methods, and centroid molecular dynamics (CMD) and thermostatted ring polymer molecular dynamics (TRPMD) as examples of the latter. We use as benchmarks D$_2$O doped with HOD and pure H$_2$O at three distinct thermodynamic state points (ice Ih at 150K, and the liquid at 300K and 600K), modeled with the simple q-TIP4P/F potential energy and dipole moment surfaces. With few exceptions the different techniques yield IR absorption frequencies that are consistent with one another within a few tens of cm$^{-1}$. Comparison with classical molecular dynamics demonstrates the importance of nuclear quantum effects up to the highest temperature, and a detailed discussion of the discrepancies between the various methods let us draw some (circumstantial) conclusions about the impact of the very different approximations that underlie them. Such cross validation between radically different approaches could indicate a way forward to further improve the state of the art in simulations of condensed-phase quantum dynamics.