The performance of the Hartree-Fock method and the three density functionals B3LYP, PBE0, and CAM-B3LYP is compared to results based on the coupled cluster singles and doubles model in predictions of the solvatochromic effects on the vertical n-->pi* and pi-->pi* electronic excitation energies of acrolein. All electronic structure methods employed the same solvent model, which is based on the combined quantum mechanics/molecular mechanics approach together with a dynamical averaging scheme. In addition to the predicted solvatochromic effects, we have also performed spectroscopic UV measurements of acrolein in vapor phase and aqueous solution. The gas-to-aqueous solution shift of the n-->pi* excitation energy is well reproduced by using all density functional methods considered. However, the B3LYP and PBE0 functionals completely fail to describe the pi-->pi* electronic transition in solution, whereas the recent CAM-B3LYP functional performs well also in this case. The pi-->pi* excitation energy of acrolein in water solution is found to be very dependent on intermolecular induction and nonelectrostatic interactions. The computed excitation energies of acrolein in vacuum and solution compare well to experimental data.