Simple modules are the elemental components in representation theory for Lie algebras, and numerous mathematicians have worked on their construction and classification over the last century. This thesis consists of an introduction together with four research articles on the subject of simple Lie algebra modules. In the introduction we give a light treatment of the basic structure theory for simple finite dimensional complex Lie algebras and their representations. In particular we give a brief overview of the most well-known classes of Lie algebra modules: highest weight modules, cuspidal modules, Gelfand-Zetlin modules, Whittaker modules, and parabolically induced modules. The four papers contribute to the subject by construction and classification of new classes of Lie algebra modules. The first two papers focus on U(h)-free modules of rank 1 i.e. modules which are free of rank 1 when restricted to the enveloping algebra of the Cartan subalgebra. In Paper I we classify all such modules for the special linear Lie algebras sln+1(C), and we determine which of these modules are simple. For sl2 we also obtain some additional results on tensor product decomposition. Paper II uses the theory of coherent families to obtain a similar classification for U(h)-free modules over the symplectic Lie algebras sp2n(C). We also give a proof that U(h)-free modules do not exist for any other simple finite-dimensional algebras which completes the classification. In Paper III we construct a new large family of simple generalized Whittaker modules over the general linear Lie algebra gl2n(C). This family of modules is parametrized by non-singular nxn-matrices which makes it the second largest known family of gl2n-modules after the Gelfand-Zetlin modules. In Paper IV we obtain a new class of sln+2(C)-modules by applying the techniques of parabolic induction to the U(h)-free sln+1-modules we constructed in Paper I. We determine necessary and sufficient conditions for these parabolically induced modules to be simple.