The molecular mechanisms through which alternative splicing and histone modifications regulate gene expression are now understood in considerable detail. Here, we discuss recent studies that connect these two previously separate avenues of investigation, beginning with the unexpected discoveries that nucleosomes are preferentially positioned over exons and DNA methylation and certain histone modifications also show exonic enrichment. These findings have profound implications linking chromatin structure, histone modification and splicing regulation. Complementary single gene studies provided insight into the mechanisms through which DNA methylation and histones modifications modulate alternative splicing patterns. Here, we review an emerging theme resulting from these studies: RNA-guided mechanisms integrating chromatin modification and splicing. Several groundbreaking papers reported that small noncoding RNAs affect alternative exon usage by targeting histone methyltransferase complexes to form localized facultative heterochromatin. More recent studies provided evidence that pre-messenger RNA itself can serve as a guide to enable precise alternative splicing regulation via local recruitment of histone-modifying enzymes, and emerging evidence points to a similar role for long noncoding RNAs. An exciting challenge for the future is to understand the impact of local modulation of transcription elongation rates on the dynamic interplay between histone modifications, alternative splicing and other processes occurring on chromatin.