The purpose of this work is to investigate the behavior of Multiscale Finite Element type methods for advection-diffusion problems in the advection-dominated regime. We present, study and compare various options to address the issue of the simultaneous presence of both heterogeneity of scales and strong advection. Classical MsFEM methods are compared with adjusted MsFEM methods, stabilized versions of the methods, and a splitting method that treats the multiscale diffusion and the strong advection separately.