You can train this skill in the various obstacle courses scattered around RuneScape. Overcoming each individual obstacle gives a certain amount of experience, and by going through the obstacles in the correct order you gain bonus experience. Each of the agility courses is explained below.
Levels 1 - 35
Basic Gnome Agility Course
30 seconds per lap
2,585 xp per lap
10 laps until level 35
To get to the Gnome Courses, you're going to want some easily teleports - specifically Spirit Tree teleports, head to the Oracle and follow these directions: Oracle -> Shops -> More -> Rings & Amulets & Gloves Now buy a Games Necklace and Ring of Duelling, you'll need both of these eventually, it is just convenient to buy them both at the same time. Keep both of them in your inventory.
Rub the Ring of Duelling and teleport to the "Mobilizing Armies Command Centre" and head north.
You'll be teleported to the main Spirit Tree in the Tree Gnome Village, simply select: Teleport -> Tree Gnome Stronghold
When at the Gnome Stronghold just walk south east a bit and you will be at the Gnome Agility Course
Levels 35 - 52
Basic Barbarian Agility Course
37 seconds per lap
3,817 xp per lap
30 laps until level 52
Once you've achieved level 35 Agility, you'll want to head to some faster experience at the Barbarian Course. Rub your Games Necklace and select Barbarian Outpost. After you have teleported, just simply walk around the Barbarian Assault building and the course will be there.
Levels 52 - 85
Wilderness Agility Course
53 seconds per lap
15,731 xp per lap
200 laps until level 85
To get to the Wilderness Course you'll have to teleport there through the Oracle.
Oracle -> Teleports -> More -> Mages bank
~This is a dangerous area, you are advised to bank anything you do not want to risk~
You'll enter a dark room with a red lever on the wall, pull it and you'll be teleported into the Wilderness. You will be teleported outside the bank, here you need to slash through 2 spider webs. After you have done that run west and you will reach the Course.
Once you've made your way to the gate, you simply just need to click on the gate and your character will automatically make its way into the course. You need level 52 Agility to open this.
Levels 85 - 90
Advanced Gnome Agility Course
35 seconds per lap
19,731 xp per lap
106 laps until level 90
496 laps until level 99
Return back to the Gnome Stronghold, and repeat the same course, but instead of walking the log, you can skip that as it isnt required., climb the branch a third time.
Also when you come on to to t he second branch, do not walk the rope, instead climb the branch and continue on from there.
Levels 90 - 99
Advanced Barbarian Agility Course
20,350 xp per lap*
377 laps until level 99
It is faster experience to train at the Advanced Gnome Course.
Welcome back to the Barbarian Course, here you will have a new course to do, with exception of walking across the log, as it is still required. Once you have crossed the log, follow the second path and climb the wall. And continue on.
All experience rates are based on Hard mode, to find out the xp rates for medium or easy multiply the experience rates listed by :
X 2.1 (Roughly)
For the complete agility guide, check the guide made by Daniel at http://www.corruptionx.com/showthread.php?72477-Agility-Guide