Pro koleje 3 zkuste toto:
Training.select("trainings.id, trainings.name, trainings.order,
trainings.id AS history_id, training_histories.finished_at,
training_histories.score").
joins("LEFT OUTER JOIN training_histories
ON training_histories.training_id = trainings.id
AND training_histories.id = (SELECT th1.id FROM training_histories th1
WHERE th1.training_id = tc.id
AND th1.finished_at IS NOT NULL
ORDER BY th1.finished_at DESC LIMIT 1)").
where("trainings.id > 4 AND trainings.id < 8").
group("trainings.id").
order("trainings.order_by ASC, trainings.id ASC")
V podstatě jen převádíte svůj předem napsaný dotaz na vyhledávací metody Rails 3.