Hidden Markov Models (HMM) are often used for analyzing Comparative Genomic Hybridization (CGH) data to identify chromosomal aberrations or copy number variations by segmenting observation sequences. For efficiency reasons the parameters of a HMM are often estimated with maximum likelihood and a segmentation is obtained with the Viterbi algorithm. This introduces considerable uncertainty in the segmentation, which can be avoided with Bayesian approaches integrating out parameters using Markov Chain Monte Carlo (MCMC) sampling. While the advantages of Bayesian approaches have been clearly demonstrated, the likelihood based approaches are still preferred in practice for their lower running times, datasets coming from high-density arrays and next generation sequencing amplify these problems.