It does depend on the sim, but the vast majority do something, even if it's just yoga. My current heir loves yoga and does the occasional dance workout to the TV, and that's it for her. Some of my other sims love running on the treadmill for hours a day, and I frequently get my male sims a punching bag. I don't often send them to the gym, though. If I want particular workout equipment, I buy it for their home. And my current sim has a yoga mat, and that's it. Well, and the TV. :smile:
What annoys me is the kids. No matter how much they play on the playground equipment, or swim, or anything else, they always get fat. At least mine do. They usually spend their first 2 days as a teen working off the baby fat. It's truly annoying.
That said, I have sims of all sizes in my game. Except really, really skinny ones. They freak me out.