Penguins, like most birds, are covered in feathers. They have a special layer of feathers that help keep them warm.
While they don't fly in the air like traditional birds, they have been known to "fly" through the water using because of their feathers. They can "fly" out of the water quickly, which is known as porpoising.
Their feathers also give them a special camouflage. They have black feathers on their backs. The white feathers on their front help them blend into surface of water to underwater predators.