In this paper a number of covariance matrix estimators suggested in the literature are compared in terms of their performance in the context of array signal processing. More specifically they are applied in adaptive beamforming which is known to be sensitive to errors in the covariance matrix estimate and where often only a limited amount of data is available for estimation. As many covariance matrix estimators have the form of diagonal loading or eigenvalue adjustments of the sample covariance matrix and as they sometimes offer robustness to array imperfections and finite sample error, they are compared to a recent robustified adaptive Capon beamforming (RCB) method which also has a diagonal loading interpretation. Some of the covariance estimators show a significant improvement over the sample covariance matrix and in some cases they match the performance of the RCB even when a priori knowledge, which is not available in practice, is used for choosing the user parameter of RCB.