Multi-Agent Systems (MAS) promise to offer solutions to problems were established, older paradigms fall short. To be able to keep promises, however, in-depth studies of advantages and weaknesses of MAS solutions versus conventional ones in practical applications are needed. In this paper we offer one such study. Climate control in large buildings is one application area where MAS, and market-oriented programming in particular, have been reported to be very successful. We have therefore constructed and implemented a variety of market designs for this problem, as well as different standard control engineering solutions. This paper gives a detailed analysis and comparison, so as to learn about differences between standard versus MAS approaches, and yielding new insights about benefits and limitations of computational markets.