Methods for calculating return values of extreme precipitation and their uncertainty are compared using daily precipitation rates over the Western U.S. and Southwestern Canada from a large ensemble of climate model simulations. The roles of return-value estimation procedures and sample size in uncertainty are evaluated for various return periods. We compare two different generalized extreme value (GEV) parameter estimation techniques, namely L-moments and maximum likelihood (MLE), as well as empirical techniques. Even for very large datasets, confidence intervals calculated using GEV techniques are narrower than those calculated using empirical methods. Furthermore, the more efficient L-moments parameter estimation techniques result in narrower confidence intervals than MLE parameter estimation techniques at small sample sizes, but similar best estimates. It should be noted that we do not claim that either parameter fitting technique is better calibrated than the other to estimate long period return values. While a non-stationary MLE methodology is readily available to estimate GEV parameters, it is not for the L-moments method. Comparison of uncertainty quantification methods are found to yield significantly different estimates for small sample sizes but converge to similar results as sample size increases. Finally, practical recommendations about the length and size of climate model ensemble simulations and the choice of statistical methods to robustly estimate long period return values of extreme daily precipitation statistics and quantify their uncertainty.