Monte Carlo approaches play a crucial role in collider physics as they enable theory-data comparisons for complex multi-particle observables that are otherwise challenging to calculate perturbatively. In the context of heavy-ion collisions, numerous Monte Carlo approaches have emerged to study jet quenching phenomena, which refer to the modifications experienced by high-momentum particles and jets as they traverse the hot and dense medium produced in these collisions. These models are continuously evolving in conjunction with theoretical efforts aimed at understanding and accurately describing experimental results from both RHIC and the LHC. This manuscript provides a comprehensive overview of the essential components that these tools must address in order to describe jets in heavy-ion collisions. Additionally, it presents a comparative analysis of the most recent results obtained from several jet quenching Monte Carlo models, focusing on jet and intra-jet observables. Finally, the manuscript concludes with a forward-looking perspective on future developments in this field.