"Nightmare Penguin": Much like "Penguin Soldier", this card can bounce many of your opponent's stronger monsters. This card can only target 1 card, but it has a basic 1800 DEF, and might withstand an attack which "Penguin Soldier" may not. It is also Level 4, which makes it a perfect target for "The Great Emperor Penguin".
"The Great Emperor Penguin": Can be Tributed to Special Summon up to 2 other "Penguin" monsters from your Deck. With its effect, many power-plays are enabled, and therefore it is currently considered the "Penguin" Deck's strongest card. Its effect can be combined with "Lemuria, the Forgotten City" to raise the levels of the Summoned monsters to Xyz Summon Xyz Monsters with higher ranks.
"Nopenguin": Useful for Rank 3 Xyz Summons, because it Special Summons itself from the Graveyard whenever the effect of a "Penguin" monster is activated, but only once per turn. While it can only be Summoned with its effect once per turn, Special Summoning it each turn is still useful each turn, as long as you have "Penguin" effects to activate. In addition, it banishes monsters that are returned to the hand by "Penguin Soldier" and "Nightmare Penguin".
"Penguins" focus on bouncing cards back to its owner's hand with cards like "Penguin Soldier" and "Nightmare Penguin". Cards like "Neo-Spacian Grand Mole" can be used in this Deck to keep with the bouncing theme. You can also use "Nopenguin" or "Degenerate Circuit" to banish bounced cards instead of returning them to the hand. "Spiritual Water Art - Aoi" can dispose of monsters that you returned to the opponent's hand, so using it after using "Penguin Soldier" or "Nightmare Penguin" is a great combo to get rid of strong monsters. By using "Book of Moon", you can re-use these effects to return cards to the opponent's hand again.
"Monarchs" can be used to fill out the Deck, since you often have an extra "Penguin" available for Tribute Summons.