Supplemental oxygen therapy is commonly used in patients with advanced chronic obstructive pulmonary disease (COPD) and severe hypoxemia at rest. Use of oxygen in these patients is justified by studies showing a mortality benefit. However, the use of oxygen in other patients with advanced COPD has not clearly been established. Long-term studies assessing not only mortality but also other outcomes that are important to patients and physicians such as dyspnea, health status, and exercise capacity are lacking. This article reviews the available studies of the use of supplemental oxygen in patients with less severe hypoxemia at rest during the day, hypoxemia occurring only at night, and hypoxemia occurring only with exercise. With the knowledge that studies in patients with advanced COPD and less severe hypoxemia are limited, recommendations are provided on oxygen use in these groups of patients.