Using piezoelectric elements to harvest energy from ambient vibration has been of great interest recently. Because the power harvested from the piezoelectric elements is relatively low, energy storage devices are needed to accumulate the energy for intermittent use. In this paper, we compare several energy storage devices including conventional capacitors, rechargeable batteries, and supercapacitors in piezoelectric energy harvesting. Their charge/discharge efficiency, adaptability, lifetime, and self-discharge are investigated and discussed. A quick test method is proposed to experimentally study the charge/discharge efficiency of the energy storage devices. The results show that the supercapacitors are suitable and more attractive than the rechargeable batteries as energy storage devices in piezoelectric energy harvesting for wireless sensor networks.