From the Super Mario Wiki
Penguins are a species of flightless bird found in the Mario series. They are good swimmers and often inhabit cold climates, like their real-world counterparts, to which they bear varying degrees of resemblance, depending on the game. Many also inhabit tropical areas, as seen in Super Mario Galaxy and Super Mario Galaxy 2. Most of them do not hurt Mario, though they sometimes act as obstacles or hindrances to his quest. Benevolent penguins often speak with Mario, sometimes asking for his help or offering him a service. Penguins can easily be confused with the smaller, similar-looking species Bumpties.
Super Mario series
Super Mario 64
“Egad! My baby!! Have you seen my baby??? She's the most precious baby in the whole wide world. (They say she has my beak)...I just can´t remember where I left her. Let´s see...I stopped for herring and ice cubes, then I...oohh! I just don´t know!”
Penguins were given a minor role in Super Mario 64 and its remake Super Mario 64 DS, where they could be seen in the level Cool Cool Mountain. In the game, a Mother Penguin had lost her baby Tuxie and asks Mario to find her. Mario finds her and is awarded with a Power Star. Also, later, Mario has to race down a long, icy slide and get to the finish line before a champion sledder does. If Mario wins, he will be awarded with another Power Star. Also, in Snowman's Land, there's another Penguin on the bridge leading to the top of the giant snowman. The Penguin can be used to sneak around the giant snowman head. Super Mario 64 also introduced the current design of the Penguins.
Super Mario Galaxy
In Super Mario Galaxy, Penguins reappear residing in the Loopdeeloop Galaxy, Sea Slide Galaxy, Drip Drop Galaxy, Buoy Base Galaxy, Loopdeeswoop Galaxy and Beach Bowl Galaxy. There is also one lone penguin in Freezeflame Galaxy, and an elderly penguin named Penguru in the Drip Drop Galaxy, Bigmouth Galaxy, and Sea Slide Galaxy. Usually, the Penguins will challenge Mario to some sort of water challenge, such as surfing, collecting shells, or racing them. They are quite friendly, and will give Mario tips on how to swim, or even help him find Silver Stars. In the Loopdeeloop Galaxy and Loopdeeswoop Galaxy, the penguins spend their time surfing on Manta Rays. They also have a Coach which is a black penguin bigger than normal penguins who teaches Mario (and Luigi) how to use shells to swim with. The penguins in this game are shown to live in more tropical areas than the previous games, which had penguins living mainly in cold areas. It is unknown why, but in the penguin race mission of Sea Slide Galaxy, there's a penguin smaller than Mario and any other penguins found in the game. This penguin can be found walking around the lighthouse.
Super Mario Galaxy 2
Penguins reappear in Super Mario Galaxy 2. In this game the Penguins appear only in one galaxy; the Cosmic Cove Galaxy. They appear with Penguru (who also appeared in Hightail Falls Galaxy) and Coach in all levels of the galaxy. In the first level, Penguins are all throughout giving Mario hints on how to swim and leading him along.
In the second level of the Cosmic Cove Galaxy, a Luma has been trapped in a cage and all the Penguins have gone searching around the galaxy to find the key. They lead Mario in the correct direction and give him many hints on how to swim. After Mario has completed this second mission, one penguin will appear on Starship Mario and tell Mario how to swim whenever spoken to.
Mario Kart 64
Mario Kart: Super Circuit
Mario Kart 7
Mario Pinball Land
In Mario Pinball Land, Penguins appear to be in the Ice World; if Mario hits one of them, the Penguin will slip down to the icy floor, waddling while sliding. If Mario hits it one more time while the Penguin is down lying on the icy floor, he will earn 2,000 points. While sliding, if a Penguin hits another waddling Penguin, the other Penguin slips down to the icy floor while sliding as the process repeats.
Mario Party series
The Penguins also appear in the Mario Party series (such as in the minigame Pushy Penguins from Mario Party 5). They are not to be confused with Bumpties, who are shorter, smaller, and generally appear mainly in the Yoshi series, with a few exceptions.
Mario Party 5
A mob of penguins appear in the minigame Pushy Penguins as they run across from the right side of the screen and dive into the water to the left. The players must avoid the penguins and find gaps between to avoid being pushed off.
Mario Party 6
A penguin appears as one of the friends that need to be found in the minigame Lab Brats.
Mario Party Advance
In Mario Party Advance, a Penguin can be found in the Ice Casino of Shroom City. He is trying to save up money to buy a ring for his girlfriend, Pengwen, but has lost all of his money playing Drop 'em. If the Player wins the game for him, he will thank the player by giving away a Gaddget and the minigame. The ending reveals that he still can't afford the wedding ring.
Also, there is a multiplayer function in the game known as the Penguin Race. Both Players must have the game, and whoever has the highest minigame high scores wins.
Mario Party 8
One Penguin appears as a racer in Moped Mayhem in Mario Party 8. A penguin is also hiding in Specter Inspector. It also appears in the minigame Cardiators as a card, if their card is drawn either one penguin or a group of penguins will charge at the opponent.
Mario Party 9
In Mario Party 9, Penguins appear as obstructions in the minigame Polar Extreme, simply wandering on the various chunks of ice in the water. Hitting them results in a player being stunned. Like the other players, they can be stomped on, but this does not affect them.
Mario Party: Island Tour
Mario Strikers Charged
Mario & Sonic at the Olympic Winter Games
Mario Sports Mix
Mario Tennis Open
Names in other languages