There are 3 easy ways i can think of off (i'm definetly sure there are more ways...but these are all i could think of )

You could simply take a cylinder and move around the vertices to get the desired shape, this might take the longest time...but it is probably the easiest.

You might also try to attach a lattice to the cylinder for better looking deformations.

The best way would probably be by making a nurbs circle. Then making a path curve in the way you wish to make the rope. To finish it up you do an extrude on the circle based on the path curve...giving you your "rope"

Hope this helps