In recent years, there are many great successes in using deep architectures for unsupervised feature learning from data, especially for images and speech. In this paper, we introduce recent advanced deep learning models to classify two emotional categories (positive and negative) from EEG data. We train a deep belief network (DBN) with differential entropy features extracted from multichannel EEG as input. A hidden markov model (HMM) is integrated to accurately capture a more reliable emotional stage switching. We also compare the performance of the deep models to KNN, SVM and Graph regularized Extreme Learning Machine (GELM). The average accuracies of DBN-HMM, DBN, GELM, SVM, and KNN in our experiments are 87.62%, 86.91%, 85.67%, 84.08%, and 69.66%, respectively. Our experimental results show that the DBN and DBN-HMM models improve the accuracy of EEG-based emotion classification in comparison with the state-of-the-art methods.