Genomic selection aims to increase accuracy and to decrease generation intervals, thus increasing genetic gains in animal breeding. Using real data of the French Lacaune dairy sheep breed, the purpose of this study was to compare the observed accuracies of genomic estimated breeding values using different models (infinitesimal only, markers only, and joint estimation of infinitesimal and marker effects) and methods [BLUP, Bayes Cp, partial least squares (PLS), and sparse PLS]. The training data set included results of progeny tests of 1,886 rams born from 1998 to 2006, whereas the validation set had results of 681 rams born in 2007 and 2008. The 3 lactation traits studied (milk yield, fat content, and somatic cell scores) had heritabilities varying from 0.14 to 0.41. The inclusion of molecular information, as compared with traditional schemes, increased accuracies of estimated breeding values of young males at birth from 18 up to 25%, according to the trait. Accuracies of genomic methods varied from 0.4 to 0.6, according to the traits, with minor differences among genomic approaches. In Bayes Cp, the joint estimation of marker and infinitesimal effects had a slightly favorable effect on the accuracies of genomic estimated breeding values, and were especially beneficial for somatic cell counts, the less heritable trait. Inclusion of infinitesimal effects also improved slopes of predictive regression equations. Methods that select markers implicitly (Bayes Cp and sparse PLS) were advantageous for some models and traits, and are of interest for further quantitative trait loci studies.