.. in winter, that is, esp. in the US.. For two reasons - one that I was aware for a long time, and another a new enlightenment.. ;)
First is that plump people have more fat to 'burn' to generate heat inside the body during the winter and thus wont be feeling the outside cold that much.
Lil bit of chemistry now.. Secondly, their excess fat, which is made of long-chain organic compounds, is a bad conductor of electricity. This reduces the extent and the intensity of their getting static shocks. On the other hand, thin and athletic people have low fat and high amount of water and muscle in their body, both of which are good conductors. This makes them more prone to the shocks.
Nowadays whichever metal object I touch at home, I get a shock, many a times with spark as well.. This is more so after I return from gym.. This is the price I have to pay for getting my body fat cut down from over 25% to less than 7% in the last 9 months..