Let's say you have a commander on the field, and an opponent uses Sisters Of Stone Death to force your commander to block the sisters and then exiles your commander? Does it remain exiled, or does it go back to your commander zone?
The rule is
So, in this case, you get to choose whether it goes into exile or the command zone. If you put it in the command zone, then your opponent can't use the Sisters' other ability to bring it back, of course.
Several important nuances:
Whenever a Commander is exiled or enters the graveyard, they are returned to toe command zone.
The only zones your commander remains in are:
A good strategy for commander removal is to put them on the bottom of their owner's library. This is a bit mean, however, and may not make you many friends :)