Several of the Crash Bandicoot games have levels with penguins as the enemies. It is almost sad to kill them that sometimes I just avoid them instead of killing them like I do other enemies. It is just a game, though, so I do not feel that bad if I do it. In most games the penguin characters look most like Adelie Penguins, although the one in The Wrath of Cortex has hair kind of like a Macaroni Penguin (this is the one pictured in my screenshot below).
There first appearance is in the Snow Go, Snow Biz, and Cold Hard Crash levels of Crash Bandicoot 2: Cortex Strikes Back for Playstation 1. Another one with penguin enemies is the Arctic Antics level in Crash Bandicoot: The Wrath of Cortex (Gamecube, PS2, Xbox). There is also the Frostbite Cavern, Snow Crash and Snow Job Levels in Crash Bandicoot: The Huge Adventure for Game Boy Advance. In Crash Team Racing for PS1 there is the unlockable character called Penta Penguin. Penguin characters are also in Crash Bandicoot 3: Warped for PS1, Crash Bash for PS1, Crash Twinsanity (PS2 and Xbox), and Crash Tag Team Racing (PSP, Gamecube, PS2, Xbox).