As R@nSiD mentioned, It doesn't appear that your penguins parts (beaks, wings, etc) haven't been connected to the rig, so they would not be moving.

If your talking about the curve in the back of the lower images not being seen in your penguin, that is because your joints are still straight (in the middle picture, notice the angle of the second joint compared to the one before it, then look at how all yours are aligned perfectly straight) . Try grabbing several joints along the spine (or right click on the root joint and select "select hierarchy". you don't want to select just one), and rotate on one of the axis (if you have multiple joints selected, as you rotate one, they will all rotate by the same amount on the same axis (this is why making sure rotation axis are set proper, but thats another story)). If it's still not working as you'd like, take another picture and let us see.