There are no penguins in Alaska other than in zoos. Penguins are natives of the Southern Hemisphere. The northernmost population is on the Galapagos Islands, which lie on the equator.
According to Wikipedia, there are between 17 and 20 species of penguins, as of 2014. They are found along the coasts of all the continents in the Southern Hemisphere and on islands from the Antarctic region to the equator.
Penguins are not limited to cold climates but usually live in areas with cold waters rich in small fish, squid and krill. They are sometimes confused with similarly colored auks and puffins, which are native to Arctic areas, but the two groups of birds are not closely related.