We propose a multidomain grid refinement technique with extensions to entropic incompressible, thermal, and compressible lattice Boltzmann models. Its validity and accuracy are assessed by comparison to available direct numerical simulation and experiment for the simulation of isothermal, thermal, and viscous supersonic flow. In particular, we investigate the advantages of grid refinement for the setups of turbulent channel flow, flow past a sphere, Rayleigh-Bénard convection, as well as the supersonic flow around an airfoil. Special attention is paid to analyzing the adaptive features of entropic lattice Boltzmann models for multigrid simulations.