As a homeschooling mother of three, I've learned over the years there are many excellent ways to encourage exercise and physical education in a homeschool program.
Home Gym Equipment: One good option, especially for older homeschoolers, is to purchase home gym equipment such as treadmill, elliptical machine, or weight bench. Assign the safety manual as required reading before "class" begins and do the necessary research to develop an age appropriate and safe workout routine. Your family doctor or a personal trainer is a good resource for putting together a routine. Have your teen track their endurance and stamina and watch it improve by recording their time on the equipment, lifting weights or other measurements.
Bounce, Climb & Slide: For younger children consider a "bouncy house" for safe and fun exercise. There are also many options for indoor and outdoor playground equipment you can consider including small rebounder-style trampolines, field day games, and swing sets. Look at the options from Discount School Supply and other school providers for affordable kits containing lots of great gym options.
Workout DVDs: From ballet to tae bo, there's a workout DVD in every style. This is a great way to test out wherever your kids will really enjoy a specific activity without committing to months worth of classes. Gaiam Kids makes a fantastic line of YogaKids DVDs for preschoolers and early grade-schoolers.
Club Members: Many workout clubs offer family memberships and activities designed specifically for children like rock climbing walls or swimming lessons. You may also find a club that will provide activities for you children while you get in a workout.
Group Classes: Look at what's available in your community for martial arts lessons, ballet or dance, swimming, ice skating and other group instruction activities. Many kids thrive in this type of environment and it can give you a little break while a competent professional instructions your kids.
Human Body / Health Studies: Do not forget, physical education classes include more than just exercise. There are many great resources for learning about the human body, nutrition, and health. Be sure to include these in your homeschool PE program. You can do a standard health curriculum textbook or look for DVD sets from BBC, or the Science or Discovery channel.
Do not let the idea of gym class at home overwhelm you. Just get those kids moving and exercising on a regular basis to stay in shape. Gym class can be fun!