We study the two-dimensional Hubbard model in the weak-coupling regime and compare the self-energy obtained from various approximate diagrammatic schemes to the result of diagrammatic Monte Carlo simulations, which sum up all weak-coupling diagrams up to a given order. While dynamical mean-field theory provides a good approximation for the local part of the self-energy, including its frequency dependence, the partial summation of bubble and/or ladder diagrams typically yields worse results than second order perturbation theory. Even widely used self-consistent schemes such as GW or the fluctuation-exchange approximation (FLEX) are found to be unreliable. Combining the dynamical mean-field self-energy with the nonlocal component of GW in GW+DMFT yields improved results for the local self-energy and nonlocal self-energies of the correct order of magnitude, but here, too, a more reliable scheme is obtained by restricting the nonlocal contribution to the second order diagram. FLEX+DMFT is found to give accurate results in the low-density regime, but even worse results than FLEX near half-filling.