I've heard that you shouldn't, but I do sometimes... it feels good to sweat out the germs (or at least that's what I think I'm doing in my head!).

If you have a cold, you can workout but it should not be an intense workout. 

It depends on how sick you are and what kind of exercise you want to do, I think. For example, if you have a fever and your joints are aching, you probably need rest, not three miles on the treadmill. If you are, say, getting over a mild cold, working out is probably fine as long as you are careful not to spread germs. Personally, I've made myself feel a lot more miserable and tired when I exercised too vigorously while I was coming down with something. It's just harder to recover from overly strenuous physical work when your body is already exhausted fighting the germs. Light to moderate exercise is probably okay. It just depends on what you know you can handle, but it's not the time to push for new personal records or anything. They say that regular exercise improves your immune system in general, but the time to really develop that habit is when you are well.