Penguins are the only birds that migrate by swimming. But not all penguins swim during their migration. The Emperor Penguin does not stray far from the permanent Antarctic ice and when breeding season arrives they come ashore and begin their long "march" to one of 35 known rookeries. Passing in single file, the adult Emperor Penguins will travel anywhere from 30 to 100 miles - on foot! - before arriving at their breeding grounds. During the months required to lay and incubate the egg and raise the chick, the male and female adult penguins undertake this "March" numerous times.
There is a wonderful film that chronicles this amazing migration. It is called, "March of the Penguins."