Contrary to popular belief, your penis is not a muscle, nor does it contain a bone. It's better to think of it as a kind of sponge, which, when flaccid, is soft and malleable, but can quickly become engorged when filled with blood. Two large cylindrical chambers, the corpus cavernosum and the corpus spongiosum (see?), fill with blood during arousal, causing your penis to harden and grow in size.
Stretching with weights. Weights or stretching exercises won't bulk up your penis -- it's not a muscle. But hanging weights off your flaccid penis may stretch it a bit, O'Leary says. The catch is that it requires a freakish degree of dedication. "You might have to wear a weight strapped to your penis eight hours a day for six months," says O'Leary. At the end of it, you could be lucky enough to gain about half an inch. Risks include tearing of the tissue, burst blood vessels, and other problems.