There are hundreds of Chi-Kung exercises; most are beneficial, but some can have dangerous side-effects if performed improperly.
While some people attempt to learn Chi-Kung from books or videos, it is difficult, if not downright impossible. There are too many fine points that can only be explained by an experienced instructor. While the simpler exercises are indeed learnable through these mediums, there is a lack of continuity. Chi-Kung relies upon a knowledge of the body's structure, the channels of energy, and the Taoist philosophy, none of which are usually taught in a book or tape.
Here is a Chi-Kung Primer that may be of interest.