<PAGE>   1


THE SECURITIES EVIDENCED BY OR ISSUABLE UPON THE EXERCISE OF THIS WARRANT HAVE
NOT BEEN REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE "ACT") OR
ANY APPLICABLE STATE SECURITIES LAW, AND MAY NOT BE OFFERED, ASSIGNED,
TRANSFERRED, PLEDGED, HYPOTHECATED, OR OTHERWISE DISPOSED OF IN THE ABSENCE OF
AN EFFECTIVE REGISTRATION STATEMENT UNDER THE ACT, AND SUCH REGISTRATION OR
QUALIFICATION AS MAY BE NECESSARY UNDER THE SECURITIES LAWS OF ANY STATE, OR AN
OPINION OF COUNSEL SATISFACTORY TO THE CORPORATION THAT SUCH REGISTRATION OR
QUALIFICATION IS NOT REQUIRED.


                             BLUE RHINO CORPORATION

                         ------------------------------

                          COMMON STOCK PURCHASE WARRANT

                         ------------------------------


                                                                 Warrant No. ___
                                                       Dated as of June 15, 2001


         1. Grant. For consideration of $100.00 and other value received, BLUE
RHINO CORPORATION, a Delaware corporation (the "Corporation"), hereby grants to
ALLIED CAPITAL CORPORATION or its assigns or transferees (the "Holder"), at the
exercise price set forth in Section 3 below, the right to purchase 1,372,071
shares (the "Warrant Shares") of Common Stock, subject to adjustment from time
to time as hereinafter set forth. This Warrant is issued at Closing under an
investment agreement dated as of the date hereof (the "Investment Agreement") by
and among the Corporation, the Holder and certain other parties thereto.
Capitalized terms used herein, but not elsewhere defined herein or in the
Investment Agreement, have the meanings set forth in Schedule 1.

         2. Exercise Period. The right to exercise this Warrant, in whole or in
part, begins on the date hereof. The right to exercise this Warrant expires on
the later of (i) the tenth anniversary of the date hereof and (ii) the date five
years after payment of all amounts due under the Debentures (the "Expiration
Date").

         3. Exercise Price. The exercise price per share of this Warrant is
equal to $3.8685, subject to adjustment from time to time as hereinafter set
forth (the "Exercise Price").


<PAGE>   2

         4. Anti-Dilution Adjustment.

                  (a) Dilutive Transactions. Each time the Corporation enters
into a Dilutive Transaction, the Exercise Price will be reduced, concurrently
with such Dilutive Transaction, to the Price Per Share at which such Dilutive
Transaction has occurred.

                  (b) Readjustment.

                           (i)      Expiration of Option or Right to Subscribe
                                    For or Purchase. If any option or right
                                    issued in connection with a Dilutive
                                    Transaction expires without having been
                                    exercised prior to the exercise by the
                                    Holder of its rights hereunder, the Exercise
                                    Price then in effect hereunder shall
                                    forthwith be readjusted to such higher
                                    amount as would have been in effect had the
                                    option or right never been issued.

                           (ii)     Expiration of Right to Convert or Exchange.
                                    If any right to convert or exchange any
                                    Common Stock Equivalent issued in connection
                                    with a Dilutive Transaction expires without
                                    having been exercised prior to the exercise
                                    by Holder of its rights hereunder, the
                                    Exercise Price then in effect hereunder
                                    shall forthwith be readjusted to such higher
                                    amount as would have been in effect had the
                                    Common Stock Equivalent never been issued.

         5. Other Adjustments.

                  (a) Adjustment for Change in Common Stock.

                           (i)      If the Corporation (A) pays a dividend or
                                    makes a distribution on its Common Stock in
                                    shares of its Common Stock, (B) subdivides
                                    or reclassifies its outstanding shares of
                                    Common Stock into a greater number of
                                    shares, or (C) combines or reclassifies its
                                    outstanding shares of Common Stock into a
                                    smaller number of shares (each, an
                                    "Adjustment Event"), the number of Warrant
                                    Shares issuable hereunder immediately prior
                                    to such action shall be proportionately
                                    adjusted so that the Holder will receive
                                    upon exercise, the aggregate number and kind
                                    of shares of capital stock of the Company
                                    which it would have owned immediately
                                    following such action if the Holder had
                                    exercised this Warrant immediately prior to
                                    such Adjustment Event, and the Exercise
                                    Price in effect hereunder immediately prior
                                    to such action shall be proportionately
                                    adjusted so that the Holder shall pay upon
                                    exercise, the aggregate amount which it
                                    would have paid if the Holder had exercised
                                    this Warrant immediately prior to such
                                    Adjustment Event.



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<PAGE>   3

                           (ii)     The adjustment shall become effective
                                    immediately after the record date in the
                                    case of a dividend or distribution and
                                    immediately after the effective date in the
                                    case of a subdivision, combination or
                                    reclassification.

                           (iii)    The adjustment shall be made successively
                                    whenever any Adjustment Event occurs.

                  (b) Adjustment for Reorganization. If the Corporation
consolidates or merges with or into another Person, or sells all or
substantially all of its assets or stock or enters into any other similar
transaction, liquidation, recapitalization or reorganization (any such action, a
"Reorganization"), there shall thereafter be deliverable, upon exercise of this
Warrant (in lieu of the number of Warrant Shares theretofore deliverable) the
number of shares of stock or other securities or property to which a holder of
the number of shares of Common Stock that would otherwise have been deliverable
upon exercise of this Warrant would have been entitled upon such Reorganization
if such Warrant had been exercised in full immediately prior to such
Reorganization.

         6. Participation in Dividends, Distributions, Repurchases or
Redemptions. If the Corporation declares any dividend or makes any distribution,
in each case, that is not in shares of Common Stock or Common Stock Equivalents,
or repurchases or redeems any of its Capital Stock (other than from officers,
employees and directors of the Corporation (or their estates) upon the
termination of employment of any such Person or from service providers pursuant
to equity incentive agreement or arrangements upon termination of their services
to the Corporation or pursuant to agreements entered into to evidence grants or
awards or other compensation under a stock option plan), the Corporation will
pay the Holder the declared dividend, or offer to include the Holder in such
distribution, repurchase or redemption, as if the Holder had exercised this
Warrant immediately prior to such event (or any record date with respect
thereto). If the Holder elects to participate in a repurchase or redemption,
this Warrant shall be modified (as of the date of such event) so that the Holder
shall be entitled to receive, upon exercise, the number of Warrant Shares
issuable hereunder less the number of Warrant Shares redeemed or repurchased.

         7. Prior Notice as to Certain Events.

                  (a) Dividends, Distributions, Subscription Rights. If the
Corporation (i) pays any dividend, or makes any distribution, or repurchases or
redeems any of its Capital Stock, or (ii) offers any subscription rights pro
rata to the holders of its capital stock any additional shares of stock of any
class or any other rights, then at least 15 days prior to the record date for
such action, the Corporation will send written notice (by first class mail,
postage prepaid, addressed to the Holder at its address shown on the books of
the Corporation) of the dates on which (A) the Corporation will close its books
or take a record for such action, (B) such action will occur and (C) the holders
of Capital Stock of record will participate in such action.

                  (b) Reorganizations. If the Corporation (i) enters into any
Reorganization or reclassification of its capital stock, or (ii) is the subject
of a voluntary or involuntary dissolution,



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<PAGE>   4

liquidation or winding up of the Corporation, then at least 15 days prior to
such action, the Corporation will send written notice (by first class mail,
postage prepaid, addressed to the Holder at its address shown on the books of
the Corporation) of the dates on which (A) the Corporation will close its books
or take a record for such action, (B) such action will occur and (C) the holders
of Capital Stock of record may exchange their Capital Stock for securities or
other property deliverable upon such action.

                  (c) Certificate as to Adjustments. In each case of any
adjustment or readjustment in the number of shares issuable upon exercise of
this Warrant, the Corporation at its expense will promptly provide notice to the
Holder stating the number of shares of Common Stock then issuable upon exercise
of this Warrant and the applicable Exercise Price after such adjustment, showing
how such amounts were calculated.

         8. Reservation of Common Stock. The Corporation will reserve and keep
available for issuance and delivery upon the exercise of this Warrant such
number of its authorized but unissued shares of Common Stock or other securities
of the Corporation as will be sufficient to permit the exercise in full of this
Warrant. Upon issuance, each of the Warrant Shares will be validly issued, fully
paid and nonassessable, free and clear of all liens, security interests, charges
and other encumbrances or restrictions on sale (other than restrictions imposed
by applicable securities laws) and free and clear of all preemptive rights.

         9. No Voting Rights; Limitations of Liability. Prior to exercise, this
Warrant will not entitle the Holder to (a) any voting rights, or (b) other
rights as a stockholder of the Corporation not granted herein. No provision of
this Warrant, in the absence of affirmative action by the Holder to exercise
this Warrant, and no enumeration in this Warrant of the rights or privileges of
the Holder, will give rise to any liability of such Holder for the Exercise
Price.

         10. Exercise Procedure.

                  (a) To exercise this Warrant, the Holder must deliver to the
principal office of the Corporation (prior to the Expiration Date) this Warrant,
the subscription substantially in the form of Exhibit "A" attached hereto, and
the Exercise Price. The Holder may deliver the Exercise Price by any of the
following methods, at its option: (i) in legal tender, (ii) by bank cashier's or
certified check, (iii) by wire transfer to an account designated by the
Corporation, or (iv) in accordance with Section 11. Upon exercise, the
Corporation, at its sole expense (including the payment of any documentary,
stamp, issue or transfer taxes), will issue and deliver to Holder, within 10
days after the date on which the Holder exercises this Warrant, certificates for
the Warrant Shares purchased hereunder. The Warrant Shares shall be deemed
issued, and the Holder deemed the holder of record of such Warrant Shares, as of
the opening of business on the date on which the Holder exercises this Warrant.

                           (b) The Corporation shall pay any and all
documentary, stamp, or similar issue or transfer taxes payable in respect of the
issue or delivery of the Warrant Shares.



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<PAGE>   5

                           (c) In the event this Warrant is partially exercised,
the Corporation shall forthwith issue and deliver to the Holder a new Warrant of
like tenor to purchase that number of shares with respect to which such partial
exercise did not apply.

         11. Cashless Payment.

                  (a) Right to Convert. In lieu of paying the applicable
Exercise Price by legal tender, check, or wire transfer, the Holder may elect to
receive, upon exercise of this Warrant, that number of Warrant Shares equal to
the quotient obtained by dividing:

                            [(A-B)(X)] by (A), where:

                  A        =        the Conversion Value (as defined below) of a
                                    share of Common Stock on the date of
                                    exercise;

                  B        =        the Exercise Price for a share of Common
                                    Stock;

                  X        =        the number of Warrant Shares (equal to or
                                    less than the number of Warrant Shares then
                                    issuable hereunder) as to which this Warrant
                                    is being exercised.

                  (b) Conversion Value. For purposes of this Section 11 only,
the Conversion Value of a share of Common Stock means:

                           (i)      if the Common Stock is listed on a national
                                    securities exchange or admitted to unlisted
                                    trading privileges on such exchange or
                                    listed for trading on the Nasdaq National
                                    Market System maintained by the National
                                    Association of Securities Dealers, Inc., --
                                    the average of last reported sale price of
                                    the Common Stock for the five trading days
                                    prior to the date of exercise of this
                                    Warrant (or the average closing bid and
                                    asked prices for each such day if no such
                                    sale is made on such day);

                           (ii)     if clause (i) does not apply, and if the
                                    prices are reported by the National
                                    Quotation Bureau, Inc., -- the average of
                                    the means of the last reported bid and asked
                                    prices reported for the five trading days
                                    prior to the date of exercise of this
                                    Warrant; and

                           (iii)    in all other cases -- the per share value as
                                    determined by the board of directors in good
                                    faith.

         12. Sale of Warrant or Warrant Shares. Neither the sale of this Warrant
nor the issuance of any of the Warrant Shares upon exercise of this Warrant has
been registered under the Act or under the securities laws of any state. The
issuance of the Warrant Shares upon exercise of this Warrant shall be subject to
compliance with all applicable Federal and state securities laws. Neither this
Warrant nor any of the Warrant Shares (when issued) may be sold,



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<PAGE>   6

assigned, transferred, pledged or hypothecated or otherwise disposed of except
as permitted: (i) by any shareholders agreement then in effect, (ii) by any
effective registration statement under the Act and by registration or
qualification under the securities laws of any state in question, or (iii) with
an opinion of counsel reasonably satisfactory to the Corporation stating that
such registration under the Act and registration or qualification under the
securities laws of any state is not required. Until the Warrant Shares have been
registered under the Act and registered and qualified under the securities laws
of any state in question, the Corporation shall cause each certificate
evidencing any Warrant Shares to bear the following legends:

                  THE SHARES EVIDENCED BY THIS CERTIFICATE HAVE NOT BEEN
         REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE "ACT"), OR
         UNDER THE SECURITIES LAWS OF ANY STATE. THE SHARES MAY NOT BE OFFERED,
         SOLD, ASSIGNED, TRANSFERRED, PLEDGED OR HYPOTHECATED OR OTHERWISE
         DISPOSED OF IN THE ABSENCE OF AN EFFECTIVE REGISTRATION STATEMENT UNDER
         THE ACT, AND SUCH REGISTRATION OR QUALIFICATION AS MAY BE NECESSARY
         UNDER THE SECURITIES LAWS OF ANY STATE, OR AN OPINION OF COUNSEL
         SATISFACTORY TO THE CORPORATION THAT SUCH REGISTRATION OR QUALIFICATION
         IS NOT REQUIRED.

         13. Transfer. The Corporation will register this Warrant on its books
and keep such books at its offices. To effect a transfer permitted by Section 12
hereof, the Holder must present (either in person, or by duly authorized
attorney) written notice substantially in the form of Exhibit "B" attached
hereto. To prevent a transfer in violation of Section 12, the Corporation may
issue appropriate stop orders to its transfer agent.

         14. Replacement of Warrant. If the Holder provides evidence that this
Warrant or any certificate or certificates representing the Warrant Shares have
been lost, stolen, destroyed or mutilated, the Corporation (at the request and
expense of the Holder) will issue a replacement warrant or certificates upon
reasonably satisfactory indemnification of the Corporation by the Holder (if
required by the Corporation).

         15. Investors' Rights Agreement. The Holder shall have certain rights
in regard to this Warrant or Warrant Shares issued hereunder as set forth in an
Investors' Rights Agreement, as amended, by and among the Corporation, the
Holder and certain of its shareholders, whether or not such Holder has agreed to
become a party thereto.

         16. Governing Law. The laws of the State of Maryland (other than its
conflict of law rules) govern this Warrant.



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<PAGE>   7

         IN WITNESS WHEREOF, the Corporation has caused this Warrant to be
signed on its behalf, in its corporate name, by its President, and its corporate
seal to be hereunto affixed and the said seal to be attested by its Secretary,
as of the date first written above.

                                           BLUE RHINO CORPORATION
                                           a Delaware corporation



Attest:/s/ Mark Castaneda                  By:/s/ Billy Prim              [Seal]
       ---------------------------            ----------------------------
         Mark Castaneda,                         Billy Prim,
         Secretary                               President



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<PAGE>   8

                                    EXHIBIT A

                            IRREVOCABLE SUBSCRIPTION

To:      Blue Rhino Corporation

         The undersigned hereby elects to exercise its right under the attached
Warrant by purchasing ____ shares of the Common Stock, and hereby irrevocably
subscribes to such issue. The certificates for such shares shall be issued in
the name of:

         ------------------------------
         (Name)

         ------------------------------
         (Address)

         ------------------------------
         (Taxpayer Number)

         and delivered to:

         ------------------------------
         (Name)

         ------------------------------
         (Address)

[ ]      PAYMENT EXERCISE: The aggregate Exercise Price of $____ per share is
         enclosed.

         or

[ ]      CASHLESS EXERCISE: In lieu of payment of the aggregate Exercise Price
         hereof, the attached Warrant is being exercised in accordance with
         Section 11 of the attached Warrant.

         Date:_______________

         Signed:  ________________________________________
                           (Name of Holder, Please Print)

                  ________________________________________
                  (Address)

                  ________________________________________
                  (Signature)



                                      -8-
<PAGE>   9

                                    EXHIBIT B

                                   ASSIGNMENT


         For value received, the undersigned hereby sells, assigns and transfers
unto:

         -------------------------------
         (Name)

         -------------------------------
         (Address)

         the attached Warrant, together with all right, title and interest
therein to purchase [__] shares of the Common Stock, and does hereby irrevocably
appoint _______________________ as attorney-in-fact to transfer said Warrant on
the books of Blue Rhino Corporation, with full power of substitution in the
premises.

         Done this ______ day of ____________ 20____.




                                                ------------------------------
                                                         (Signature)

                                                ------------------------------
                                                       (Name and title)

                                                ------------------------------

                                                ------------------------------
                                                          (Address)


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<PAGE>   10

                                   SCHEDULE 1

"COMMON STOCK EQUIVALENT" means any security of the Corporation that is
         directly or indirectly convertible, exercisable, or exchangeable into
         Common Stock at any time.

"CONSIDERATION" means:

                  (i) if the Corporation issues Common Stock, -- the gross
         proceeds received by the Corporation;

                  (ii) if the Corporation issues Common Stock Equivalents, --
         the gross proceeds received by the Corporation, plus the minimum
         aggregate amount of gross proceeds, if any, payable to the Corporation
         upon exchange or conversion;

                  (iii) if the Corporation issues options or rights to subscribe
         for or to purchase Common Stock or any Common Stock Equivalents, -- the
         gross proceeds, if any, received by the Corporation, plus the minimum
         aggregate amount of gross proceeds, if any, payable to the Corporation
         upon exercise;

                  (iv) if the Corporation issues a combination of securities
         consisting of Common Stock or Common Stock Equivalents and other
         securities of the Corporation, and if the amount of gross proceeds
         allocable to the Common Stock or Common Stock Equivalents is not
         determinable on its face at the time of such issuance, -- the portion
         of gross proceeds received by the Corporation allocable to the Common
         Stock or Common Stock Equivalents, as determined in good faith by the
         Corporation's Board of Directors; and

                  (v) if the Corporation receives any non-cash consideration, --
         the fair value of the non-cash consideration, as determined in good
         faith by the Corporation's Board of Directors.

"DILUTIVE TRANSACTION" means any transaction (other than Exempt Transactions)
         where the Corporation does any of the following, based on a Per Share
         Price which is less than the Exercise Price then in effect:

                  (i) issues or sells any Common Stock or any Common Stock
         Equivalents;

                  (ii) issues or sells any options, warrants or other rights to
         purchase or otherwise acquire any Common Stock or any Common Stock
         Equivalent; or

                  (iii) decreases the subscription, exercise, conversion or
         exchange price of the securities described in (i) or (ii).

"EMPLOYEE OPTIONS" means options to purchase shares of Common Stock at a price
         not less than Fair Market Value issued by the Corporation pursuant to a
         stock option plan, stock purchase plan, management incentive plan,
         consulting agreement or other contractor arrangement approved by the
         Board of Directors of the Corporation to employees or officers of,
         consultants or distributors to, contractors with, members of the Board
         of



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<PAGE>   11

         Directors of the Corporation or other persons performing services for
         or on behalf of the Corporation, in connection with or as compensation
         for the performance of services to the Corporation.

"EMPLOYEE OPTION SHARES" means shares of Common Stock into which Employee
Options are exercisable.

"EXEMPT TRANSACTION" means any transaction where the Corporation:

                  (i) issues any Common Stock upon conversion or exercise of
         securities outstanding issued or committed to issue as of the date
         hereof;

                  (ii) issues Employee Options to acquire up to 3,500,000
         Employee Option Shares;

                  (iii) issues any Common Stock upon exercise of this Warrant;

                  (iv) issues any Common Stock or Common Stock Equivalents as an
         inducement to lenders of the Corporation to advance sums or otherwise
         to make financial accommodations, or as compensation to lenders for
         advancing sums or otherwise making financial accommodations to the
         Corporation or one or more of its Subsidiaries, to the extent such
         issuance is approved by the Board of Directors of the Corporation;

                  (v) issues Common Stock or Common Stock Equivalents as
         compensation to vendors or lessors of the Corporation in connection
         with, or as an inducement to vendors or lessors of the Corporation to
         enter into, agreements with the Company and not as part of an offering
         of the Corporation's securities, to the extent such issuance is
         approved by the Board of Directors of the Corporation;

                  (vi) issues Common Stock or Common Stock Equivalents in
         consideration of the acquisition by the Corporation of the assets,
         capital stock or other equity interests of, or in connection with a
         joint venture with, another entity, to the extent such issuance is
         approved by the Board of Directors of the Corporation;

                  (vii) issues Common Stock or Common Stock Equivalents pursuant
         to stock split, stock dividend or reclassification or similar organic
         change involving the Corporation's capital stock;

         provided that the aggregate number of shares of Common Stock issued or
         issuable pursuant to clauses (iv), (v) and (vi) shall not exceed
         548,828.

"FAIR MARKET VALUE" of a share of Common Stock means:

                  (i) if the Common Stock is listed on a national securities
         exchange or admitted to unlisted trading privileges on such exchange or
         listed for trading on the Nasdaq National Market or Nasdaq SmallCap
         Market maintained by the National Association of Securities Dealers,
         Inc., -- the last reported sale price of the share of Common Stock on
         the last trading day prior to the Dilutive Transaction or Exempt
         Transaction (or the average closing bid and asked prices for such day
         if no such sale is made on such day);



                                      -11-
<PAGE>   12

                  (ii) if clause (i) does not apply, and if the prices are
         reported by the National Quotation Bureau, Inc., -- the mean of the
         last reported bid and asked prices reported on the last trading day
         prior to the Dilutive Transaction or Exempt Transaction;

                  (iii) if clauses (i) and (ii) do not apply, and if the
         transaction involves the sale by the Corporation of securities to
         unaffiliated third parties (utilizing the services of an investment
         banker acceptable to Holder), -- the applicable per share price; and

                  (iv) in all other cases -- as determined in good faith by the
         Board of Directors of the Corporation.

"PER SHARE PRICE" means the total Consideration for each share of Common Stock
         or Common Stock Equivalent issued or issuable by the Corporation in
         connection with a Dilutive Transaction.




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