The 'normal' exit to any level is at the end of it. Exits are indicated by an exit sign - logical, eh? You can also exit the first stage of a level by going back out through the entrance door; if you do this, however, you will lose all of the items (Tings, special powers, etc.) that you picked up in this stage.—Manual, Rayman
When you are in a level, walk up to the Wooden Arrows to go back in the Level Selection Map. If you are in the Level Selection Map, use it to go back in the World Map.—Manual, Rayman 3
Exit signs, also known as wooden arrows and end of level signs, are special wooden signs that appear primarily in the original Rayman game. These signs allow Rayman to progress from one area to the next, or to return to the world map. In Rayman 2: The Great Escape, they are replaced by the Spiral Doors.
The first type of exit sign bears an exclamation mark on its front. One is usually found at the end of each phase of each level. Touching one of these end-of-level exit signs will transport Rayman to the next phase, or, if he is already in the last phase of a given level, it will transport him to the world map and allow him to access the next level.
The second type of exit sign is larger and roughly triangular. These signs have ‘rewind’ arrows on their fronts. They are usually found near the start of the first phase of each level. Touching one of these start-of-level exit signs will send Rayman back to the world map. Their main purpose is to allow players who have changed their minds or accidentally entered the wrong level to return.
A third type of sign was originally intended for inclusion in the game, but was removed for unknown reasons. This type looked similar to the first, except that the exclamation mark was replaced by a G clef. This type of sign has only been discovered through the hacking of Rayman Designer. It does not seem to have any particular connection to Band Land, as it is loaded into the system's memory no matter which world the player is in.
In other games
Exit signs also appear in the Game Boy Advance adaptation of Rayman 3. Here they are known as wooden arrows.
Exit signs also appear in the Game Boy Advance adaptation of Rayman Raving Rabbids, but with a difference: depending on which of the game's five worlds Rayman is currently in, the exit signs will appear differently. In the Forest world, they are wooden and similar to those found in the original Rayman game; in the Organic Cave, they are made of the same fleshy material as the rest of the environments; and so on.
An exit sign appears briefly in Rayman Revolution. It can be seen on the edge of the clearing in which Rayman rescues Bzzit from the Robo-Pirate army. Touching it does nothing – it is no more than an Easter egg reference to the original Rayman game.