Well when I work in a round pen I try to work off lead; I walk, jog, canter, both directions. I do lots of turns, so that they are focused, and work a bit on suppleness. I back them get them to side pass, turn on the forehand, and hind end, etc; all of this works their muscles and tones them, to help them work off body fat. If you can't get them to do some of the latter excercises off lead, put a lead rope on them and get them to do them. Try to focus on making sure they are 'collected' when they do them, as well, and not just moving all their feet to turn, or one foot at a time when they back etc.
If it's a large enough round pen, you can put some small jumps in there as well.
Lesson From Your Horse: When you' re tense, let me teach you that there are lions in the woods, and we need to leave. NOW!!
