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I'm looking for a good set of exercises that I could practice to develop dexterity, finger strength, and other important skills. Exercises in theory are also quite welcome. I would say I am of intermediate skill, though it has been quite some time since I had formal training.

I would prefer that the exercises be free, perhaps something developed and/or maintained by a community, but am also interested in books (physical or downloads) available for purchase.

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I guess the two most popular answers to this question will be Hanon's The Virtuoso Pianist and Czerny's wide assortment of exercises (On the Czerny web page, it's only a mild exaggeration to say that every other piece is a collection of exercises!). These are both in the public domain, and therefore free.

I would like to mention, though, that to me, exercises always seemed kind of besides the point. You could learn every Hanon exercise, then transpose it into every key, and assuming that you don't give yourself a RSI, you'll be a great pianist. But only from a purely technical standpoint. You get better at music by playing music, and you get better at exercises by playing exercises. The point is, these are certainly nice to have (especially when you really need to train a specific sort of finger motion), but be careful not too get so caught up in exercising your fingers that you forget to make music!

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It is worth noting that "Etudes", though they are by name studies in technique, can absolutely be artistic musical endeavors. Many teachers will suggest studying Czerny before moving to Chopin, and finally Liszt. (I'd personally also add Ligeti and Hamelin in sequence afterwards.) –  NReilingh Nov 28 '11 at 6:10
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I agree with @NReilingh, It's also worth noting that many "normal" pieces are artistic, expressive and didactic. Bach's Little Preludes and Fughetas is a classic example. Forget Czerny (I don't like most of Czerny's work), go for Heller instead, opus 45, 46 and 47. Bartok and Prokofiev are also very interesting (and didactic), since they tend to explore very non-standard rhythmic and phrasing aspects. –  Victor Nov 28 '11 at 10:21
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