The penguin's heart has to be very efficient because penguins are endothermic animals. They need by the factor of ten more energy than ectothermic animals. That is why penguins have to take in ten times more food and oxygen and take off ten times more carbon dioxide. Consequently, their heart has to be very strong. The double blood circulation is also advantageous. Birds have - like us mammals - two divided circulations: a pulmonary and a body circulation. Moreover, the blood circulation is closed, the blood flows through blood vessels only and does not escape like in invertebrates.
Firstly, blood with low oxygen concentration gets from the right antechamber in the right chamber. Then it is pumped into the lung. There a gas exchange takes place: oxygen gets from the inhaled air in the blood while carbon dioxide is delivered from blood to the lung and breathed out. This blood with high oxygen concentration arrives at the left antechamber and then in the left chamber. Now this blood is pumped through the aorta to the rest of the body. In capillaries in organs or extremities another gas exchange takes place: oxygen is given up to the organs so they can gain energy and do their work. These processes result carbon dioxide production which is transported by the venules back to the right antechamber.
Biologie by Campbell, Neil A. and Reece, Jane B., 8th edition (German book)
Tierphysiologie by Roger Eckert, 4th Edition (German book)