So is this a request, or a challenge?
Kekkyoku Nankyoku Daibouken, aka Antarctic Adventure, from Konami for the MSX. The main character cameos in a few of the Parodius games.
Doki-Doki Penguin Land from Sega. Originally on the SG-1000 but I think there's a coin-op version as well.
Penguin-kun Wars from UPL. This was ported to a few different consoles but I'm pretty sure it was a coin-op first.
Hebereke from Sunsoft for the Famicom. This guy became quite popular in Japan. There are at least 5 spin-offs starring the character: Hebereke no Popoon, Sugoi Hebereke, Hebereke no Oishi Puzzle wa Irimasen Ka, Hashire Hebereke, and Popoitto Hebereke. On top of that, he made cameo appearances in a couple of Sunsoft games, including Albert Odyssey.
Yume Penguin Monogatari from Konami for the Famicom. This is probably related to Nankyoku Daibouken.
Osagawase Penguin Boy from Natsume.
Ninpenmanmaru. This is based on some manga, I think.
Iwatobi Penguin for the PlayStation. I'm not sure what this is about, but apparently it has its fans.
Penguin Brothers, an obscure coin-op.
Wasn't this, like, the second or third Dreamcast game announced after D2 and Godzilla?
There was also at least one other Pingu game for the Game Boy and of course everyone here knows Pengo. Probably a few others I missed.
Not that I'm a nerd or anything.