Merry Madagascar is a new holiday special that premiered last night on NBC and then was released on DVD today (I think it is only available at Wal-Mart currently). The 30 minutes special (little less as there are commercials) with the characters from Madagascar. It is set between the story line of Madagascar 2 and The Penguins of Madagascar series that is on Nickelodeon, as the animals including the penguins are still in Madagascar.
Overall it is a pretty entertaining plot. King Julian is in it, but he is not as annoying as in The Penguins of Madagascar series. The penguins are somewhat minor characters more like in the movies than the show, but they are still part of the main characters. In the episode the penguins end up serving in place of the reindeer as the animals deliver the presents for Santa after he crash lands in Madagascar and loses his memory. Julian is left behind and tries to create a holiday that honors him and is all about him getting presents, but he then learns that it is not any fun if you do not give as well as receive.