Instead of the ridiculously overpriced Punta Tombo National Park (next listing), head here for an equally good experience and meeting with the penguins, for free.
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From Puerto Madryn daytrips run to Punta Tombo (200 km, 3 hr). This is a penguin colony where you can walk among thousands of penguins between the months of October and March. No public buses run to the reserve so you will need to book a tour (around AR$2,200 as of Feb 2019) or rent a car. The last 20 km of the drive is on a gravel road.
This is a sea lion reserve. It can be reached by bike. The road is not paved and your bike may sink into the sand. On the up side, there are deserted rocky beaches (very lovely) if you take any of the side paths off of this sandy road.