Hydrodynamic interactions play an important role in the dynamics of macromolecules. The most common way to take into account hydrodynamic effects in molecular simulations is in the context of a Brownian dynamics simulation. However, the calculation of correlated Brownian noise vectors in these simulations is computationally very demanding and alternative methods are desirable. This paper studies methods based on Krylov subspaces for computing Brownian noise vectors. These methods are related to Chebyshev polynomial approximations, but do not require eigenvalue estimates. We show that only low accuracy is required in the Brownian noise vectors to accurately compute values of dynamic and static properties of polymer and monodisperse suspension models. With this level of accuracy, the computational time of Krylov subspace methods scales very nearly as O(N 2) for the number of particles N up to 10 000, which was the limit tested. The performance of the Krylov subspace methods, especially the block version, is slightly better than that of the Chebyshev method, even without taking into account the additional cost of eigenvalue estimates required by the latter. Furthermore, at N 10 000, the Krylov subspace method is 13 times faster than the exact Cholesky method. Thus, Krylov subspace methods are recommended for performing large-scale Brownian dynamics simulations with hydrodynamic interactions.