Consider the following example.
\documentclass{article}
\usepackage{enumitem}
% New line after \item (http://tex.stackexchange.com/a/29518/15874)
\makeatletter
\def\myitem{%
\@ifnextchar[ \@myitem{\@noitemargtrue\@myitem[\@itemlabel]}}
\def\@myitem[#1]{\item[#1]\mbox{}\\}
\makeatother
% Exercise
\setlist[enumerate,1]{
wide = 0\parindent,
listparindent = 0pt,
label = \textbf{Exercise~\arabic*}
}
% Question
\setlist[enumerate,2]{
wide = 0\parindent,
listparindent = 0pt,
label = \textbf{\alph*)}
}
\begin{document}
\begin{enumerate}
\myitem
\begin{enumerate}
\item A
\item B
\end{enumerate}
\end{enumerate}
\end{document}

How do I
- remove the blank space after
Exercise? - get rid of the
Underfull \hboxwarning (do to the blank line afterExercise)? P.S. I don't want any text betweenExerciseanda).

\\ \screws the spacing up ;-) – Jun 09 '15 at 19:55:)Thanks. – Svend Tveskæg Jun 09 '15 at 20:11\mbox{}\\achieves) you can useenumitemkeys for the occasion, see 3.7 Description styles in the documentation. – Manuel Jun 09 '15 at 20:35description-like environments, and you are usingenumerate. – Manuel Jun 09 '15 at 21:33strangecode formyitemstuff is really important – Jun 10 '15 at 12:06