I would suggest if you guys do the penguin parade that you upgrade at least to the penguin plus ticket as the platform is much closer to where the come in and you can see them as they go up/under the dunes to their nests from the walkways.
For in the city things, I really like the National Sport Museum at the Melbourne Cricket Grounds. It's fairly small considering they cover a lot of Olympic sports and of course Aussie sports. What I like is they have fully interactive exhibits so you and the kids can attempt to play some of the sports or measure your skill against Olympic athletes.
I also liked the Melbourne Museum - it has dinosaur bones and an indoor rainforest (not as good as the one at SF's Academy of Sciences but still pretty cool) amongst a bunch of other things.