Found some videos of the penguin dance, Romanian style. The jazzing up in the first one makes it hardly recognizable:

http://www.youtube.com/watch?v=ETGGVnqADhE

Clearer tune (on the tarogato?), better dancing, shorter skirts:

http://www.youtube.com/watch?v=mOrcJbncbV0

Sax version, dancers from Serbia(?) who are having a a great time:

http://www.youtube.com/watch?v=lBpycvdcbZY

And of course, with penguins:

http://www.youtube.com/watch?v=n74WRDoqI9E