WHOA DO NOT LISTEN TO THE OTHER ANSWERS.
do not sand blast, do not use steel wool.
bicycles typically do not have exposed metal parts that rust.
the steel parts that might rust on a bike usually are primed and painted or chromed via electrolysis.
if you use anything abrasive on the painted or chromed surfaces, you risk removing more of this protecting coating, which means you'll get more rust practically overnight.
the safest thing to clean rust off of rusty parts on a bike is a wad of aluminum foil.
sounds funny, i know, but the aluminum is softer than the chrome, but harder than the rust. wipe a crumpled piece of aluminum foil on a rusty rim or handlebar, and the rust goes and the chrome stays intact.
if the chain is rusty, you're best off replacing the chain all together.
and don't bother painting the bike. too much hassle, will never be as nice as when it was new. not unless you get a pro to paint or powdercoat it and rebuild the bike.