For the most part, penguins are found in cold regions. Penguins are specially adapted to survive in these colder areas, because they have blubber which can protect them from the cold. Cold water can remove heat from the body much faster than air, so a good insulator is required.
Penguins are adapted to live in and near the ocean because they eat fish. They have special adaptations that allow them to live in the water. Penguins have webbed feet to help them swim faster, and their vision is believed to be better underwater than on land. They cannot fly in air because their wings are too small for their body weight, but their wings are adapted to help them live and dive in the water. The penguin is simply unable to create enough energy to take off. Penguins' wing bones are fused straight, rather than angled like a flying bird's, and this has the effect of making the wing rigid and powerful, like a flipper. The small wings and a streamlined body shape are ideal for diving in water.
Unlike the majority of other birds, penguins do not have hollow bones, so are much heavier and harder to support with their small wings. The solid, as opposed to hollow, bones act as ballast to help them dive. Also, being solid, they are less prone to breakage from the stresses of swimming. Some (but not all) flying birds have hollow bones to be lighter.
Penguins also have higher levels of myoglobin and feathers optimized for the aquatic environment. Myoglobin is the main way penguins store oxygen during their long dives. The muscles of flying birds are filled with mitochondria and enzymes to power flight, and there is no space left-over for myoglobin. So, flying birds cannot spend us much time underwater as penguins because they have less myoglobin (less oxygen per body mass) and lower body mass (less over oxygen).
Another adaptation that penguins have is that their feathers are optimised for an aquatic environment. Penguin feathers are short and packed together tightly, overlapping, to keep water away from the skin and to create a smooth surface to lower drag. Their feathers are coated with oil from a gland near the tail to increase the "waterproof" factor. They have a downy underlayer of feathers which traps air against the skin. This layer of air is warmed by the penguin's body heat.
Penguins have short, round bodies (round bodies limit heat loss compared to long, streamlined bodies), flat faces with fat pads over the sinuses, narrow noses, and a heavy layer of body fat. These adaptations provide minimum surface area in relation to body mass for minimum heat loss and protect the lungs and base of the brain against cold air in the nasal passages.
They also have adaptations to allow them to keep cool. Some species have bare, featherless patches around their eyes which allow excess heat to escape. In addition, penguins are able to raise their feathers to allow warmth to escape. Like many other species, penguins have numerous tiny capillaries, which are blood vessels, close to the surface of the skin on their wings, and this has the effect of allowing extra heat to escape when penguins extend their wings and allow the air to move across them. Penguins are also able to release heat through their feet.
Even a penguin's colouring is an adaptation. When they are swimming, they are effectively camouflaged from below due to their white bellies, so that predators cannot see them as easily. In addition, it helps to hide them well from the fish they hunt. The black feathers on a penguin's back absorb sunlight, warming them up even when they are on cold ice.
Penguins have small glands under the skin above their eyes, and these glands help them filter out the excess salt from the ocean water. It causes the salt to drip down their beak, from where the penguins are able to shake it off.