Our A/C, LP furnace is run by a Trane thermostat with Green, Red, White and Yellow wires connected to the G, R, W and Y terminals respectively. There is also an unused Blue wire coming out of the wall.
I would like to install a programmable Honeywell CT3611 thermostat. Do I connect the Green, Red, White, Yellow AND Blue wires to the G, R, W1, Y and B terminals? The CT3611 also has C, E, L, O and W2 terminals.

First there is no such number as 3611 on the Honeywell site.. We need a good and complete model number.

Usually you use usually you just use the G,R,W,Y.
And no other wires.
Now if you have a heat pump that is a different story.