While we were in Denmark between Christmas and New Year we visited the Copenhagen Zoo. I was specially enchanted by the Humboldt penguins (they look a lot like African penguins, but originate in Peru and Chile). Their exhibit was set up so that you could see them swimming underwater. Even though it was very cold, they seemed quite happy and well insulated.
We occasionally see penguins while boating around False Bay, but I’ve never had a chance to swim with one on a dive. I think they’re shy that way.