The Fairy Penguins at Philip Island (a couple of hours out of town) are always popular with tourists- it's in the evening so it will be cold, but you watch all the penguins come up out of the water and across the beach to their burrows. It can be crowded, but if you have the budget you can pay for aVIP experience where you have just a few people on a section of the beach.
I second this recommendation. When we went, which was at least five years ago, there were three pricing tiers. We chose the "middle" on which meant that we were in a less crowded seating section. I thought the experience was wonderful. You also have plenty of opportunities to see the penguins "up close" as you walk back to the visitor centre as there are normally stragglers still making their way to their burrows.