Nature-inspired algorithms attract many researchers worldwide for solving the hardest optimization problems. One of the well-known members of this extensive family is the evolutionary strategy ES algorithm. To date, many variants of this algorithm have emerged for solving continuous as well as combinatorial problems. One of the more promising variants, a self-adaptive evolutionary algorithm, has recently been proposed that enables a self-adaptation of its control parameters. In this paper, we discuss and evaluate popular common and self-adaptive evolutionary strategy (ES) algorithms. In particular, we present an empirical comparison between three self-adaptive ES variants and common ES methods. In order to assure a fair comparison, we test the methods by using a number of well-known unimodal and multimodal, separable and non-separable, benchmark optimization problems for different dimensions and population size. The results of this experiments study were promising and have encouraged us to invest more efforts into developing in this direction.