Penguins lay their eggs on hard surfaces near coastlines, or they might dig burrows if the soil permits. And because they're optimized for swimming rather than walking, it's difficult for penguins to gather a lot of soft nesting material. See the problem?
Penguins can also get into some pretty nasty fights over things like space for their nests or burrows, and the stones that some species pile up around their nests if they're in the open.
According to one study, only 2.6 percent of penguin eggs break from causes other than human interference or predators. That rate is similar to the rate in the rest of the bird world, even including those birds that have cushy nests and never fight near their eggs.
Penguin eggshells are fifty percent thicker than expected for their size. But it isn't easy to produce thick egg shells. It requires a lot of calcium, more than female penguins normally get in their diets. So in the period right before they lay eggs, female penguins eat a lot of mollusks.
The clam and mussel shells in their stomachs slowly leach calcium which is then used to form eggshells. Incidentally, thicker shells also help prevent breakage for birds that lay eggs on rocks, and for ostriches and rheas.