If you're looking for sport, Buzios is one Brazilian destination you really want to spend some time in. Futebol (soccer) enjoys is usual quasi-religion status, but there are plenty of other sports that have been imported and adopted with great enthusiasm by the many Buzios sports clubs. Buzios FC is the most well-known of these, and if you stop by the clubhouse you can pick up Buzios futebol clube shirts for around R$100-R$200, depending on the quality and degree of originality you want.
For more unusual sport, Buzios is a great place to enjoy anything in or on the water. Even if you have never been scuba diving before you can enjoy the 12-25 meter visibility of Ancora Island (a 30 minute boat ride away). All it takes is a one-hour course called the "underwater baptism". On this course you will be given a 15 minute lecture on the way to the island before being pitched over the side strapped to a tank of air and some blocks of lead.
Mountain biking and bike tours are another favorite of locals and tourists alike. Mountain biking is taken very seriously as a sport: Buzios has loads of rocky paths and mountain trails that are great for mountain biking. There are a lot of bike shops that hire bicycles by the day, and you can call Armaçao Bikes on (55) (22) 9213-4597 to inquire about bicycle rentals and some of the more popular trails you can go on.
Of course, no trip to Brazil would be complete without dabbling in the local mixture of martial arts and dance known as Capoeira. Capoeira started as a martial art among the slaves when they were not allowed to practice combat techniques. The early Capoeira dancers learnt to disguise their fighting techniques as dance so that they could develop them out in the open. Today you are more likely to see Capoeira moves in one of the many Buzios dance clubs which feature Capoeira dancers, or at one of the Capoeira schools.
If the Capoeira scene isn't your style there are plenty of fitness centers in Buzios. Sport centers and gyms are very common, and most have day passes available so you can keep fit even when you are on vacation. The Spazia Ferradura is well known for being a spot where tourists can go and work out at reasonable rates without having to sign at least a month's contract.