ive done more research on getting a penguin than probly any one else has... its not a good idea
First off, all species of penguin are protected so that you could only (legally) get a penguin from a Zoo that had bred it.
Secondly, you would need a constant and reliable supply of fresh frozen fish as well as appropriate vitamin supplements, you would also need to know a vet who was familiar with penguins and the many diseases they are prone to when kept in captivity.
Thirdly, you would need to be able to feed the birds every day so you couldn't take any more vacations! You can't just put a penguin into kennels!
Fourthly, you would need to build a suitable enclosure to keep the bird - remember different species have very different environmental requirements (temperature, vegetation etc.). For example, there are no species of penguin that could live outside year round in most areas of the US with its wide temperature variations. Plus all species of penguins require access to a large, deep and clean pool of water - preferably salt water.
Fifthly, penguins tend to live in large colonies - anything less than say 20 birds would not be sufficient. So you would need a very healthy income. Zoo's estimate it costs around $700 per year just to keep one penguin in fish! (thats $14,000 per year for a small colony of 20)