Training is an activity which is done in order to increase the players' experience in one or more skills. Activities which are not done primarily for gaining experience are not usually considered to be training (for example, fighting Zulrah in order to obtain rare item drops).
There are many ways to train all skills. Some players prefer material gain during their training; others do not care so much, as long as they get their experience as fast as possible. Some skills are very commonly trained by buying the items required, such as Cooking, Prayer, Construction and Crafting.
Since certain skills such as Fishing and Woodcutting are often very repetitive and passive, the best way to train these skills without becoming bored is to do something else at the same time. Activities such as reading, watching television, listening to music or even working out while training can keep focus up and boredom levels to a minimum.
In-game, it's good to switch training from one skill to another from time to time. Not only does it decrease monotony, but certain skills can be trained much faster and/or cheaper in conjunction with other skills. A common training spot for new players is outside of Lumbridge castle where one can chop trees, kill the local goblin population, and visit the nearby fishing spots.
Ironmen have two separates guides for their game mode:
Skill training guides