The exercise test has a high yield of diagnostic, prognostic, and functional information and continues to have an integral place in cardiovascular medicine. Its two most common clinical uses are to estimate the probability of a patient having coronary disease and to estimate the likelihood of future coronary events. Although recent guidelines for exercise testing have recommended that the exercise protocol should be adjusted for each patient, this is often overlooked. This review examines the use of the exercise test and discusses which protocols are most appropriate for which patients. Appropriate attention given to exercise testing methodology, including the choice of the exercise protocol, can help to assure the maximum functional, diagnostic, and prognostic yield of information.