Bayesian deep learning (BDL) is a promising approach to achieve well-calibrated predictions on distribution-shifted data. Nevertheless, there exists no large-scale survey that evaluates recent SOTA methods on diverse, realistic, and challenging benchmark tasks in a systematic manner. To provide a clear picture of the current state of BDL research, we evaluate modern BDL algorithms on real-world datasets from the WILDS collection containing challenging classification and regression tasks, with a focus on generalization capability and calibration under distribution shift. We compare the algorithms on a wide range of large, convolutional and transformer-based neural network architectures. In particular, we investigate a signed version of the expected calibration error that reveals whether the methods are over- or underconfident, providing further insight into the behavior of the methods. Further, we provide the first systematic evaluation of BDL for fine-tuning large pre-trained models, where training from scratch is prohibitively expensive. Finally, given the recent success of Deep Ensembles, we extend popular single-mode posterior approximations to multiple modes by the use of ensembles. While we find that ensembling single-mode approximations generally improves the generalization capability and calibration of the models by a significant margin, we also identify a failure mode of ensembles when finetuning large transformer-based language models. In this setting, variational inference based approaches such as last-layer Bayes By Backprop outperform other methods in terms of accuracy by a large margin, while modern approximate inference algorithms such as SWAG achieve the best calibration.