For example, all flying birds have hollow bones. In contrast, to be a successful diver a penguin wants to keep it's weight high, so they have solid bones. Penguins are excellent divers, they can dive to depths of 1000m and remain down for up to 20 minutes. All penguins use sounds to communicate. Chicks in large colonies need to be able to attract their own parents so that they can be fed, adults need to recognise one another when they come back from fishing trips, etc.
Different species make different noises.
Their chicks, in contrast, make a high pitched whistling noise to demand feeding. The Chinstrap has a shrill, screaming voice, so loud that it is sometimes called the stone-cracker penguin. The King penguin makes a trumpeting sound. These are really one and the same question. The insulation is provided in layers, under the skin is a thick layer of blubber, then there is a layer of downy feathers that trap air, and finally another layer of waterproof feathers that keep the cold water away from the skin.