Having the penguins share your emotions is a great way to connect with the player. When your little posse is outnumbered 4 to 1 your penguins don't like it any more than you do!
In fact, as they aren't exactly the most mature little creatures, they'll get down right angry. To the point where they will throw their snowballs faster, harder and further.
When your on the wrong end of the deal you might find it a little annoying how these little guys don't even take time to aim. Normally that would be a good thing but each snowball, even when thrown just in your general direction, will hit at least one of your penguins.