Wind chill has a powerful effect on heat loss. Have you ever wondered how animals cope? Especially birds, that naturally endure wind chill when they fly. What about penguins in Antarctic storms, when the wind isn't just coming from the direction of flight?
A study by Jan R.E. Taylor at the Polish Academy of Sciences has shown that Penguin Feathers have increased insulation in the wind!
This seems to be due to the feathers being pressed together, sealing the gaps in between and sealing out the wind. A similar mechanism is likely to occur under water to increase waterproofing.
(Interestingly the report suggests that movement of the feathers underwater may actually reduce drag, allowing penguins to swim faster.)