By providing a framework of accounting for the shared ancestry inherent to all life, phylogenetics is becoming the statistical foundation of biology. The importance of model choice continues to grow as phylogenetic models continue to increase in complexity to better capture micro- and macroevolutionary processes. In a Bayesian framework, the marginal likelihood is how data update our prior beliefs about models, which gives us an intuitive measure of comparing model fit that is grounded in probability theory. Given the rapid increase in the number and complexity of phylogenetic models, methods for approximating marginal likelihoods are increasingly important. Here, we try to provide an intuitive description of marginal likelihoods and why they are important in Bayesian model testing. We also categorize and review methods for estimating marginal likelihoods of phylogenetic models, highlighting several recent methods that provide well-behaved estimates. Furthermore, we review some empirical studies that demonstrate how marginal likelihoods can be used to learn about models of evolution from biological data. We discuss promising alternatives that can complement marginal likelihoods for Bayesian model choice, including posterior-predictive methods. Using simulations, we find one alternative method based on approximate-Bayesian computation to be biased. We conclude by discussing the challenges of Bayesian model choice and future directions that promise to improve the approximation of marginal likelihoods and Bayesian phylogenetics as a whole.