Emperor penguins don't build nests.  In cold Antarctica there is nothing for them to use.  In order to hatch, eggs have to be kept warm.  Emperor penguins use their own feet as nests!  After she lays her egg, the female returns to the sea.  The father penguin rolls the egg onto the top of his feet and tucks it under a warm flap of skin on his belly, called a brood patch.  He shuffles around with the egg on his feet for two months until the egg hatches.