If penguins are your thing and you've ever heard of Pingu, then you can't do much worse than A Small Gift For Christmas Wallpaper.
A Small Gift For Christmas Wallpaper features two penguins greeting and giving each other a present, backed by a well animated snow mountain landscape under a quarter moon. I'm not quite sure what they're giving each other - it looks like iced water - but the point is this is a well designed wallpaper that puts the penguin back into Christmas. It's only available in one resolution though, which is 1600 x 1200 pixels.
A Small Gift For Christmas Wallpaper will appeal to all those that like Pingu or simply like penguins.