Penguins are a food source for a number of marine mammals, especially leopard seals. These seals hide under ice flows and wait for their prey. Other marine mammal predators are sea lions and orcas.
The penguins aren't without protection though. Their white bellies blend with the snow and sunlight making it difficult for an underwater predator to see them.
Penguins are also eaten by a number of birds -- for example, the Australian sea eagle and the Skua. The penguins black backs blend against the dark ocean water, making it more difficult to spot them from above.
Penguins also have a number of on-land predators like ferrets, cats, snakes, lizards, foxes and rats.