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 Compton scattering mechanisms are prominent in the less well-developed cosmological scenarios. Line formation scenarios will then be discussed, in particular the scattering model for producing cyclotron features, which remains the only viable explanation for the Ginga observations of double lines. Absorption-like line production in cosmological burst models is generally difficult, though interesting notions such as femtolensing interference patterns have been proffered.