For Emperor Penguin, their feet. For some more temperate ones, a shallow scrape in the rocks. read more
The Emperor penguin, on the other hand, has no fixed nesting site, while the Gentoo penguin is different again, making a nest on the ground out of stones, sticks, grass, feathers, or almost any materials it finds. read more
All other species build a nest like it is usual among birds. The Pygoscelis (adélie, gentoo and chinstrap penguins) make nests with stones, as this is almost the only material they can find in their neighbourhood. As they live close together in large colonies and stones are rare, they steal a lot from the others. read more