Time series forecasting plays a critical role across numerous domains such as finance, energy, and healthcare. While traditional statistical models have long been employed for this task, recent advancements in deep learning have led to a new generation of state-of-the-art (SotA) models that offer improved accuracy and flexibility. However, there remains a gap in understanding how these forecasting models perform under different forecasting scenarios, especially when incorporating external variables. This paper presents a comprehensive review and empirical evaluation of seven leading deep learning models for time series forecasting. We introduce a novel dataset that combines energy consumption and weather data from 24 European countries, allowing us to benchmark model performance across various forecasting horizons, granularities, and variable types. Our findings offer practical insights into model strengths and limitations, guiding future applications and research in time series forecasting.