The modelling of gamma-ray burst (GRB) spectra has considerable potential for increasing the understanding of these enigmatic sources. A diversity of ideas and analyses has been generated over the last two decades to explain line features and continuum shapes, encompassing both older galactic neutron star and ``new age'' cosmological source models. This paper reviews some of the highlights of these studies, discussing the merits and limitations of various ideas, and in particular their compatibility with the observational data. The first focus will be on continuum models for GRBs, which include optically thin synchrotron emission and resonant Compton upscattering near galactic neutron stars, while the synchrotron and non-magnetic inverse Co...