"Depending upon which etymology you choose to believe, the word "penguin" derives either from the Latin word pinguis, meaning fat, or the Welsh words pen gwyn, meaning "white head." Both names probably first described a flightless bird that is not a penguin at all�the now-extinct great auk. "

That's from this site, which has a lot of interesting stuff about penguins. And here is a picture of the real and original penguin, the Great Auk (RIP).