Learning to play a musical instrument is much like learning a martial art. Gaining a level of mastery requires a solid combination of technique, theory, natural talent, and physical conditioning.
As a guitar player the best way to acquire physical conditioning by learning progressively more challenging music. This conditioning can be augmented by incorporating finger exercises into your practice regiment.
I should emphasize that exercises should augment your practice regiment but not replace it. Learning new and more challenging works of music should always be your primary focus. Finger exercises are just tools to enhance your physical agility.
There are two basic types of finger exercises that I have incorporated into my practice routine;
Stretching - to loosen the fingers, to warm up the hands, and to facilitate finger agility
Strength - to build speed, accuracy and endurance
My favorite stretching exercise is based in a major 7th voicing. This is usually the first exercise I do at the start of each practice session. I usually start at the 12th fret and work my way up to the first fret by crawling up a finger at a time.
The first chord is an F MAJ7 chord. This is the easy one. You play this as an arpeggio staring from the F with down strokes all and back from E with up strokes. You should use a metronome set to around 72 BPM (Adagio) and make sure you play the notes slowly and evenly. Remember the goal here is to stretch your fingers not to win a race.
Now for move to the next position by sliding your index finger up to the 11th fret without lifting the other fingers.
Now slide up your middle finger. Having fun yet? :-)
Next slide up your ring finger.
Finally slide up your pinky and you are back to the original MAJ7 chord a half step lower.
Now repeat this until you crawl all the way up to the first fret.
For extra credit, reverse the pattern by first sliding the pinky down...
See the video below for an example:
Now that we are all stretched out we can move on to some strength building exercises.