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For triathlon, it is often recommended to do a Brick workout. Bike, Run, Ick.

That is run right after finishing a distance bike ride.

What benefit does this provide?

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What does "ick" mean? –  J. Winchester Feb 13 '12 at 19:56
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@J.Winchester Clearly you have never done a hard Brick workout. :) Parts of it can really suck. Thus the 'ick' is appropriate. –  geoffc Feb 13 '12 at 23:07

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To build on Mike's answer, this triathlon workout article gives this as the reason for doing brick workouts to train for triathlons (key points highlighted):

So why should you do brick workouts? I bet you have an idea, but just in case you don’t I will answer it anyway. Brick workouts are used to simulate race conditions because if you aren’t training like you race then you will more than likely fail (unless your goal is simply to finish, and that’s okay too). Simply put, if you want to optimize your triathlon performance, then you will need to implement brick workouts as part of your triathlon prep.

Another benefit to brick workouts is that you learn how to mentally overcome the pain of moving on to the next event. Sure, with enough training you will learn how to run with jelly legs going from the bike to the run, but mentally you need to be ready for the pain. If you know what to expect during each transition, then you will know how fast and how far to push yourself during each event. Pacing is incredibly important during a triathlon, and brick workouts help you best identify how to handle each event.

According to this training article, bricks are commonly bike/run combos, but there there are also training scenarios for swim/bike combos.

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Good point about the swim/bike brick. For me, it's not so much the actual bike part, but being horizontal (swimming) doing an arm-centric exercise, and then transitioning to getting vertical and running to the transition area is something to get used to. At the end of the swim in a race I consciously kick harder and with more knee movement to wake up my legs and get the blood flowing. –  Mike Hedman Feb 16 '12 at 0:42

The performance benefit of brick workouts is widely debated. One thing that is much less argued is the importance of doing some brick workouts prior to your first race(s) to get used to running off the bike. It can be quite disorienting the first couple of times. You can help this phenomenon by synchronizing your bike and run cadences as much as possible. Riding at 90rpm, then jumping off the bike and trying to run at 60 (or vice-versa), your legs will feel lost for 5-15 minutes. But riding at 90 and taking off running at 90 can smooth things out.

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I had never considered specifically synching cadences. Interesting idea! –  geoffc Feb 14 '12 at 11:27
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I do not agree - at the end of the riding phase you MUST loosen your legs. A lot of blood has accumulated in your thighs, you need a high cadence, id say 100+ for the last 150-200 meters, to help cause the blood to flow. If you go too slow towards T2 - your legs will feel exactly like the name of th exercise: BRICKS - or wood legs - and it's hard to run with Wooden Legs (Ask Pinocchio). Than you should start to run at a speed, that is not your fastest, but is indeed fast with the legs - yes, it's hard - but that's why most people don't do tri's. –  Saariko Feb 14 '12 at 12:53

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