Physical exercise as an intervention in cancer patients has attracted increasing interest. This review examines the published randomised controlled trials on physical exercise, during and after cancer treatment, focusing primarily on recruitment of patients, patient compliance, content of the intervention programmes and outcome measures. We performed systematic searches of PubMed, PsychInfo, Cancerlit and the Cochrane Library using the MESH terms exercise, neoplasms, cancer, rehabilitation and intervention. We identified 12 randomised trials with sample sizes ranging from 21 to 155 patients. Only four studies reported the number of patients assessed for eligibility and the reasons for exclusion; 15% to 30% of patients assessed for eligibility were randomised into the intervention programmes. Drop-out rates in the trials ranged from 0% to 34%. Most studies included female breast cancer patients (nine studies, 62% of total number of patients). Interventions included aerobic exercise training (10 studies) and resistance exercise (two studies). The studies used a wide range of instruments to assess health-related quality of life (HRQOL) and the physical exercise capacity. The studies indicated promising effects on both physiological and psychological outcomes. Randomised clinical studies are few, small in scope, and mainly focus on breast cancer patients. Complete knowledge about the type of physical exercise most beneficial for patients at different stages of the disease progression is still lacking. Future work should identify fewer and more specific endpoints.