Molecular dynamics (MD) simulations allow the investigation of the structural dynamics of biomolecular systems with unrivaled time and space resolution. However, in order to compensate for the inaccuracies of the utilized empirical force fields, it is becoming common to integrate MD simulations with experimental data obtained from ensemble measurements. We review here the approaches that can be used to combine MD and experiment under the guidance of the maximum entropy principle. We mostly focus on methods based on Lagrangian multipliers, either implemented as reweighting of existing simulations or through an on-the-fly optimization. We discuss how errors in the experimental data can be modeled and accounted for. Finally, we use simple model systems to illustrate the typical difficulties arising when applying these methods.