In recommending physical activity for public health, authors have advocated either an approach in which the participant is to follow a prescription developed by a professional or an approach based on the participants' own preferences. This review explores the potential for convergence between these two approaches by examining: (i) whether the exercise intensity that participants select is within the range recommended by the American College of Sports Medicine for the development and maintenance of cardiorespiratory fitness and health; (ii) what is known about the determinants of self-selected intensity and the factors underlying interindividual differences; and (iii) the psychological consequences of imposing a level of intensity compared with allowing participants to select their preferred level. The results indicate that, among middle-aged or older, sedentary or obese participants, or those in cardiac rehabilitation, self-selected exercise intensities are, on average, within the recommended range. However, some individuals select levels well below the recommended range and others select near-maximal levels. Most individuals apparently select intensities proximal to their ventilatory or lactate threshold, presumably because higher intensities would reduce pleasure. The factors underlying the large interindividual differences in self-selected intensity remain poorly understood. Imposed intensities lead to declines in pleasure, even when they exceed the self-selected level by a small amount. These results demonstrate the compatibility of prescription-based and preference-based approaches. Public health practitioners can consider self-selected intensity as an appropriate option.