Active learning algorithms strategically select informative input samples, aiming to enhance understanding and optimize sample efficiency for dynamical systems. The efficacy of machine learning (ML) models with uncertainty quantification in identifying dynamical systems with different characteristics has not yet been explored. This paper investigates four ML models: Gaussian processes (GPs) with radial basis function (RBF), GPs with Matérn kernels, Bayesian neural networks (NNs) with Monte Carlo dropout(MCD), and ensemble neural networks (ENNs). Both continuous and non-continuous learning strategies are employed for all models. Five well known dynamical systems with different characteristics, state dimensionalities, and dynamical complexities are simulated to test the performance of the models along the metrics of test RMSE as well as samples and run time until convergence. Through systematic experimentation, this paper provides guidance for researchers selecting models and algorithms in active learning for system identification, with insights into their strengths and limitations. Gaussian Processes with RBF kernels are shown to be the best overall choice while ENNs with Bayesian inference emerge as a scalable alternative, showing promise for high-dimensional tasks. Employing continuous training has proven to enhance the performance of Gaussian processes with RBF kernels, as well as ENNs, resulting in significant improvements in both sample and run-time efficiency.