Studies of several models of polymers with the use of a version of the Monte Carlo method—entropy sampling combined with the Wang–Landau algorithm—are presented. This approach allows derivation of the energy distribution function over a broad energy range. On the basis of this distribution various thermal characteristics of the systems are calculated in a wide temperature range: internal energy, free energy, heat capacity, average gyration radius, and mean end to end distance. For simple continuum and lattice models of free chains and rings we consider the athermal case, with eliminated overlaps, and the thermal case, when nonvalence interactions between units at finite distances are accounted for. In the framework of the proposed approaches, the models of alkanes and the simplest polypeptide, polyglycine, and the lattice model of flexible polyelectrolyte are investigated.