One thing that many people are finding frustrating about The Sims 3 is that it's surprisingly difficult to change your Sim's body shape.  Sims can now get fat - quite fat, actually! - but it takes a LOT of over-eating to get them there.  And once they are overweight, it takes a LOT of exercise to get the pounds off.  

One of those things is true to real life, and the other is not.  I leave it as an exercise for the reader to decide which is which.

If you want to make your Sim fat, that's easy!  Keep making them eat, even (especially!) when their Hunger bar is not empty.  And don't let them exercise.  The "Couch Potato" trait is a good one for this project!

You have a surprising number of exercise options, several of which are new for Sims 3.  As in Sims 2, your Sim can:

• Work out to the television.  There are a total of seven television channels, some of which you can only get from the more expensive televisions.  Luckily, the Sports Universe channel is available on even the cheapest televisions.  (Note that all the video on the televisions is machinima from The Sims 2!)
• Work out to the stereo.  Sims will work out to any radio channel, which is a little disconcerting when they decide to sweat it to the Classical station.  
• Go for a swim.  This doesn't seem to build their Athletic skill very quickly.  Which is understandable, considering they just sort of bob around in there.  Note that Sims can now exit the pool just by climbing over the edge - no ladder required!  (Damn!)
• Buy exercise equipment.  You have the workout bench (which builds strength) and the treadmill (which gives a cardio workout).  Honestly, the equipment is so expensive, it's almost more worthwhile to just go to the gym.
• Jogging.  Unlike in Sims 2, you have to actually manually click on a route and tell your Sim to "jog here."  You can pick a few points in town, tell your Sim to jog there, then click on the sidewalk near their house and tell them to jog home.  Note that unless you explicitly tell them to jog home, they will always call a taxi for the last leg of their journey!

Practicing Martial Arts (by reading a book, practicing with the training dummy, breaking boards, or sparring) does NOT seem to affect your Sim's athletic skill.  Which is kind of weird, but okay!  As a side note, if you want your Sim to get good at Martial Arts, you should work to boost their Athletic skill as well.  The better their Athletic skill, the better they will do at Martial Arts.

The Fitness Club is your friend in this endeavor, as it is for so many others.  Not only does it have toilets, showers, televisions, and a mini kitchen, there is also a big pool (lame) and a collection of exercise equipment.  Your Sim can practically live their life at the Fitness Club, if you think about it!  I like to double up by having my Sims jog to the Fitness Club, instead of taking a cab.