Continuum solvation methods are frequently used to increase the efficiency of computational methods to estimate free energies. In this paper, we have evaluated how well such methods estimate the nonpolar solvation free-energy change when a ligand binds to a protein. Three different continuum methods at various levels of approximation were considered, viz., the polarized continuum model (PCM), a method based on cavity and dispersion terms (CD), and a method based on a linear relation to the solvent-accessible surface area (SASA). Formally rigorous double-decoupling thermodynamic integration was used as a benchmark for the continuum methods. We have studied four protein-ligand complexes with binding sites of varying solvent exposure, namely the binding of phenol to ferritin, a biotin analogue to avidin, 2-aminobenzimidazole to trypsin, and a substituted galactoside to galectin-3. For ferritin and avidin, which have relatively hidden binding sites, rather accurate nonpolar solvation free energies could be obtained with the continuum methods if the binding site is prohibited to be filled by continuum water in the unbound state, even though the simulations and experiments show that the ligand replaces several water molecules upon binding. For the more solvent exposed binding sites of trypsin and galectin-3, no accurate continuum estimates could be obtained, even if the binding site was allowed or prohibited to be filled by continuum water. This shows that continuum methods fail to give accurate free energies on a wide range of systems with varying solvent exposure because they lack a microscopic picture of binding-site hydration as well as information about the entropy of water molecules that are in the binding site before the ligand binds. Consequently, binding affinity estimates based upon continuum solvation methods will give absolute binding energies that may differ by up to 200 kJ/mol depending on the method used. Moreover, even relative energies between ligands with the same scaffold may differ by up to 75 kJ/mol. We have tried to improve the continuum solvation methods by adding information about the solvent exposure of the binding site or the hydration of the binding site, and the results are promising at least for this small set of complexes.