We used Port Compass in BA. 2 tours were good - City tour and Tango tour. At Puerto Madryn, we took a tour on spec from the dock and went to the Valdes Peninlsula instead. It is closer. Not as many penquins, but half the distance. Also will give you some time to see the city. I've heard the Punta Tumbo tour involves a very long bus ride (no scenery) so-so food, but tens of thousands of penquins. We were happy with our day trip.
If all you want to see is penguins, go Senno Ottway while in Punta Arenas. Again, not thousands (more like hundreds) but a good place to visit. Can be very windy so be sure and have layers of clothing.