Pulmonary rehabilitation programmes aim at improving exercise capacity, activities of daily living, quality of life and perhaps survival in patients with chronic obstructive pulmonary disease (COPD). Recently, well-designed studies investigated and confirmed the efficacy of comprehensive pulmonary rehabilitation programmes, including exercise training, breathing exercises, optimal medical treatment, psychosocial support and health education. In the present overview, the contribution of exercise training in clinical practice to the demonstrated effects of pulmonary rehabilitation is discussed by means of six basic questions. These include: 1) the significance of exercise training; 2) the optimal intensity for exercise training; 3) prescribing training modalities; 4) the effects of exercise training combined with medication, nutrition or oxygen; 5) how training effects should be maintained; and 6) where the rehabilitation programme should be performed: in-patient, out-patient or homecare? First, exercise training has been proven to be an essential component of pulmonary rehabilitation. Training intensity is of key importance. High-intensity training (>70% maximal workload) is feasible even in patients with more advanced COPD. In addition, the effects on peripheral muscle function and ventilatory adaptations are superior to low-intensity training. There is, however, no consensus on the optimal training modalities. Both walking and cycling improved exercise performance. Since peripheral muscle function has been recognized as an important contributor to exercise performance, specific peripheral muscle training recently gained interest. Improved submaximal exercise performance and increased quality of life were found after muscle training. The optimal training regimen (strength or endurance) and the muscle groups to be trained, remain to be determined. Training of respiratory muscles is recommended in patients with ventilatory limitation during exercise. The additional effects of anabolic-androgenic drugs, oxygen and nutrition are not well-established in COPD patients and need further research. In order to maintain training effects, close attention of the rehabilitation team is required. The continuous training frequency necessary to maintain training effects remains to be defined. At this point in time, out-patient-based programmes show the best results and guarantee the best supervision and a multidisciplinary approach. Future research should focus on the role of homecare programmes to maintain improvements.