Uncertainty quantification is a pivotal field that contributes to the realization of reliable and robust systems. By providing complementary information, it becomes instrumental in fortifying safe decisions, particularly within high-risk applications. Nevertheless, a comprehensive understanding of the advantages and limitations inherent in various methods within the medical imaging field necessitates further research coupled with in-depth analysis. In this paper, we explore Conformal Prediction, an emerging distribution-free uncertainty quantification technique, along with Monte Carlo Dropout and Evidential Deep Learning methods. Our comprehensive experiments provide a comparative performance analysis for skin lesion classification tasks across the three quantification methods. Furthermore, We present insights into the effectiveness of each method in handling Out-of-Distribution samples from domain-shifted datasets. Based on our experimental findings, our conclusion highlights the robustness and consistent performance of conformal prediction across diverse conditions. This positions it as the preferred choice for decision-making in safety-critical applications.