So to recap, the oxidative system can produce ATP through either fat (fatty acids) or carbohydrate (glucose). The key difference is that complete combustion of a fatty acid molecule produces significantly more acetyl coenzyme A and hydrogen (and hence ATP) compared to a glucose molecule. However, because fatty acids consist of more carbon atoms than glucose, they require more oxygen for their oxidation.
So if your body is to use fat for fuel it must have sufficient oxygen supply to meet the demands of exercise. If exercise is intense and the cardiovascular system is unable to supply cells with oxygen quickly enough, carbohydrate must be used to produce ATP. This typically happens during weight training where short intense bursts of power is used. Put another way, if you run out of carbohydrate stores (as in long duration events), exercise intensity must reduce as the body switches to fat (a slow slow energy source) as its primary source of fuel.
Protein Metabolism
Protein is thought to make only a small contribution (usually no more 5%) to energy production and is often overlooked. However, amino acids, the building blocks of protein, can be either converted into glucose or into other intermediates used by the Krebs cycle such as Acetyl CoA.
The oxidative system as a whole is used primarily during rest and low-intensity exercise. At the start of exercise it takes about 90 seconds for the oxidative system to produce its maximal power output and training can help to make this transition earlier.
Beyond this point the Krebs cycle supplies the majority of energy requirements but slow glycolysis still makes a significant contribution. Slow glycolysis is an important metabolic pathway during events lasting several hours or more.
Energy Systems & Training
Each of the three energy systems can generate power to different capacities and varies within individuals. The literature suggest that the ATP-PCR system can generate energy at a rate of roughly 36 kcal per minute. Glycolysis can generate energy only half as quickly at about 16 kcal per minute. The oxidative system has the lowest rate of power output at about 10 kcal per minute.
The capacity to generate power in each the three energy systems can vary with training and the physical condition of the individual. The ATP-PCr and glycolytic pathways may change by only 10-20% with training. The oxidative system seems to be far more trainable although genetics play a limiting role here too. VO2max, or aerobic power can be increased by as much as 50% but this is usually observed in untrained, sedentary individuals.
Energy Systems Used in Sports
The three energy systems do not work independently of one another. From very short, very intense exercise, to very light, prolonged activity, all three energy systems make a contribution however, one or two will usually predominate.
Two factors of any activity carried out affect energy systems more than any other variable – they are the intensity and duration of exercise. Here is a list of sports and approximately how each of the energy systems contributes to meet the physical demands:

Suggested resources for further reading:
1) Essentials of Strength Training and Conditioning: 2nd Edition. (2000) Baechle TR and Earle RW. Champaign, IL: Human Kinetics
2) Essentials of Exercise Physiology: 2nd Edition (2000) McArdle WD, Katch FI and Katch VL. Philadelphia, PA: Lippincott Williams & Wilkins
3) Physiological models to understand exercise fatigue and the adaptations that predict or enhance athletic performance. Noakes TD. Scandinavian Journal of Medicine and Science in Sports. Issue 10 (2000), pages 123-145
4) Physiology of Sport and Exercise: 3rd Edition. (2005) Wilmore JH and Costill DL. Champaign, IL: Human Kinetics
