Membrane and membrane-active peptides and proteins play a crucial role in numerous cell processes, such as signaling, ion conductance, fusion, and others. Many of them act as highly specific and efficient drugs or drug targets, and, therefore, attract growing interest of medicinal chemists. Because of experimental difficulties with characterization of their spatial structure and mode of membrane binding, essential attention is given now to molecular modeling techniques. During the last years an important progress has been achieved in molecular dynamics (MD) and Monte Carlo (MC) simulations of peptides and proteins with explicit and / or implicit theoretical models of membranes. The first ones allow atomic-resolution studies of peptides behavior on the membrane-water interfaces. Models with implicit consideration of membrane are of a special interest because of their computational efficiency and ability to account for principal trends in protein-lipid interactions. In this approximation, the bilayer is usually treated as continuum whose properties vary along the membrane thickness, and membrane insertion is simulated using either MC or MD methods. This review surveys recent applications of both types of lipid bilayer models in computer simulations of a wide variety of peptides and proteins with different biological activities. Theoretical background of the membrane models is considered with examples of their applications to biologically relevant problems. The emphasis of the review is made on recent MC and MD computations, on structural and / or functional information, which may be obtained via molecular modeling. The approximations and shortcomings of the models, along with their perspectives in design of new membrane active drugs, are discussed.