a feather is composed of a main shaft with hundreds of small vanes coming off each shaft in a specific tapering pattern. each vane contains a row of little loops on one side and a series of hooks on the other. they join together and act to keep the feather as one solid unit.
however if a strong sudden wind gust should hit the bird, the "velcro" will release and allow the wind to pass through without knocking the bird for a loop. they join together neither too loosely not too tightly.
you might see a bird "preening its feathers. it is either, in the case of water birds, distributing oil over the feathers surface (from an oil gland), or it is rezipping its feathers, next time you find a feather try separating it then running your finger along it to reform its original integrity
Penguins have a different lifestyle, so of course Hashem provided them with a different system exactly suited to what they need:
Penguin Feather have a 3-D type structure which makes them an perfect insulator:
Penguin feathers consist of many small flexible hooks (no loops). The hooks mean that the feathers cannot slide relative to each other. When they are compressed by the pressure of the water, they are bent and then jump back into shape like springs when the penguin leaves the water.
When the penguin dives the air is pressed out of the feathers, the hooks release, the coat collapses and the penguin becomes thin and streamlined. When the penguin leaves the water again, the hooks unbend and rejoin and the coat inflates immediately ; otherwise a wet penguin would be unable to survive at temperatures that are typically below minus 20 degrees F.