Despite recent advances in the management of chronic heart failure (CHF), the prognosis of many of these patients remains dire. The need for an accurate prognosis in these patients has led to the identification of several indicators purported to represent the impact of the disease. Such indicators often are obtained at rest and are not always accurate at determining the clinical status of CHF patients. As a result, the relationship between prognostic indicators and clinical outcomes is frequently weak. On the other hand, physiological responses to acute exercise may unmask patients with the worst clinical status and identify those at increased risk of poor outcomes. Therefore, the present review appraises the value of several prognostic indicators for patients with CHF collected at rest and in response to exercise. In particular, it contrasts the value and accuracy of predictors of mortality widely used in clinical settings, such as oxygen uptake, ventilatory efficiency, and left ventricular ejection fraction, with new and more direct indicators of ventricular systolic and diastolic function.