Penguins' coats are colder than surrounding air

Unfortunately, there's no explanation given, and that would have been relatively easy. Because thermal radiation is often much more efficient than convection, surfaces frequently fall below the ambient air temperature by radiating their heat energy directly into space.

The phenomenon called "radiation fog" is a side effect of this -- the fog forms over a surface that becomes colder than the air above it by direct radiation into space, which causes condensation of water vapor in the adjacent air mass. If the surface was the same temperature as the air, this couldn't happen.

Radiation fog:

http://www.crh.noaa.gov/jkl/?n=fog_types