These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
The penguins wouldn't be the badass heroes they are if they weren't completely insane. Trailers for the first film prominently featured Alex proclaiming "the penguins are psychotic!" — he's right, but it's not at all a bad thing.
Also, from the sequel, King Julien in first class is very funny:
Julien: You, in-flight slave... (to Private, while hanging upside down from a chandelier) Bring me my nuts, on a silver platter. Julien: Excuse me, this is first class, it's nothing personal, it's just that we're better than you. Julien: Whatever happened to class separation?
As well as that, look at the movie he's watching. It's crammed full of plane crashes, which he's laughing at. Maurice doesn't look so happy.
Also there's the crash scene with the penguins. All four of the penguins are calm, King Julien is having fun, and in stark contrast, Alex, Marty and Melman are terrified out of their minds. Meanwhile, Gloria is asleep.
Skipper:(with the plane in a death spiral) When it comes to air travel, we know that you have no choice whatsoever, but thanks again for choosing Air Penguin.
Beforehand, Private explaining airline safety: "... place the mask over your face to hide your terrified expression from the other passengers."
When stealing the All-Terrain-Vehicle for parts, the penguins are great.
Crowning Music of Awesome: Will.i.am's "I Like to Move It" and the melancholy "The Traveling Song". Hans Zimmer did the music for the first film, and teaming him up with will.i.am, who is largely a hip-hop producer and singer, is the musical equivalent of Kingdom Hearts. "Volcano" also counts.
"Firework" playing during the triumphant circus act.
The mashup of "Afro Circus" and "I Like To Move It" during the credits.
Ensemble Darkhorse: The Penguins and King Julien XIII. The Penguins were only a sub-plot to start and keep things rolling, and King Julien was only intended to have two lines, but they became so popular that not only did they get extended roles, but they also got larger roles in the sequel, and then they got a hugely popular spin-off even though nobody knows how they got back to the Zoo in that continuity.
From the third film, some viewers (and critics) found Capitaine DuBois more interesting, or at least more rounded, than the heroes due to simply being so determined and motivated. And Vitaly has became a huge fan favorite, his popularity often eclipsing that of the Zoosters. (Note how many more tropes they have on the character page than the others.)
Critical Dissonance: There are many Madagascar fans who prefer the first film to the second one, as well as those who consider the third the worst of the bunch.
Growing the Beard: The third film seems to be this way so far; in keeping with Dreamworks Animation's consistently good quality from Kung Fu Panda-on, it seems to be one of the rare threequels that are more well-liked than their predecessors.
Hilarious in Hindsight: Alex threatens to clone Marty, after killing him and then kill all his clones. In the sequel, while Alex doesn't harm them, Marty encounters a herd of zebras, that are absolutely identical to him, which causes Alex to confuse Marty with other zebras.
In the second movie, Julien gets the line "I would invade a neighboring country and impose my own ideology on them, even if they didn't want it!" His voice actor, Sacha Baron Cohen, later played The Dictator.
HSQ: The things Capitaine DuBois does. There is nothing this woman would not do to get to Alex.
Also, Vitaly's ring act. There is no ring too small for this tough tiger, not even a keyhole.
Ho Yay: Alex, with his flamboyant, Broadway style dance maneuvers, overexcited personality, and suspiciously close relationship with his best friend, Marty the zebra. In the first film, he gets very upset and concerned when Marty leaves the zoo to find the wild. And when they all become stranded in Madagascar, Alex's hunger grows for meat, so with Marty being the closest thing to stake available he licks his rump in his sleep and in another scenario, bites him on the butt when he reverts to his primal instincts and in the second one, he confuses Marty with the other identical zebras multiple times, causing a strain on their friendship and finally there's their reconciliation near the end, where Alex finally manages to tell Marty from the rest of the zebra herd, by his bite mark on Marty's rear from the last film. It's also been pointed out that his interaction with his father seems like a metaphor for a Coming-Out Story.
There's a scene in Madagascar 2 where Julien is giving Melman romantic advice while climbing all over his head and stroking it repeatedly. Not to mention he assumed, or pretended to assume, Melman was going to tell Gloria he hated her... He's also rather touchy-feely with Maurice in the first movie.
Come the third movie Alex is given a Love Interest in the form of Gia, but considering their relationship could just as easily be interpreted as friendship, and Alex is...rather close to the gruff, butch tiger Vitaly, nothing is really resolved. Alex and Vitaly have a few moments like this, in fact (like the tiger calling Alex a lioness). And one of the more common promotional images for the third movie, of Vitaly thanking Alex for the loan of the mane conditioner for his act, looks very bad out of context◊ since it looks like he's holding a bottle of lube...
LGBT Fanbase: Of all the male characters in here that are introduced, there's Vitaly. Being a strong looking tiger with that speedo, you could have seen this a mile away...
Arguably prior to that, Alex the lion. The fandom of this movie didn't make it that unnoticeable.
Adaptation Expansion: While still vain (at one point, he asks Alex to take photos of him in cool poses) Julian is considerably more helpful and skilled in Escape 2 Africa game. He assists Melville by preparing all the medicines he needs for his clinic minigame and later even helps him out to obtain evidence of Moto-Moto cheating on Gloria.
Good Bad Bugs: Right after the crashlanding and before you enter the Serengeti proper in Escape 2 Africa game, Alex gets to fight the scorpions on the way. For some reason, one ends up immortal and cannot be defeated by any means.