A penguin's feet are barely warm at all — held just above freezing, around 0°C, while it stands on ice for hours. The cold is deliberate.
Inside the legs, veins and arteries run pressed together. Blood heading down hands its warmth to the chilled blood coming back up, so it recycles heat before the ice takes it.
The core stays warm, the feet stay just shy of frostbite, and almost nothing is wasted.