Not much, really. The shape is just a little off. I thought your penguin's wings were all the way back, from your lineart, so I shaded like they were. Looking at google images, it seems like they'd be coming toward us, too, out to the sides.
Also, the wing folds over and isn't pointed at the tip the way you drew it. Try your best to copy the reference, hahah. ^ ^
Make sure to find a reference that suits your drawing, and copy it as well as you can. "Draw what you see, instead of what you think you see." When using references, a lot of people don't really pay attention to the angles and such their reference is making. Instead, they make guesses about how their reference *should* look based on what they know about their reference. Try to look at your reference objectively, breaking down the shapes of your reference as well as you can in your head, and copying them.
Basically, pretend you're a robot, hahah. In red, I highlighted angles you could look at when trying to draw the wing. Instead of just looking at your reference real quick and drawing without thinking, make a conscious note of the angles the shapes of the wing and body make up where they meet. Pay close attention to the shape of the whole wing, breaking it down into smaller polygonal chunks if that makes it easier for you (it does for me!). In blue, I highlighted some areas of negative space I might look at if I were the one doing the drawing. If the spaces around your penguin (negative space) look wrong, that means your penguin itself (positive space) is wrong, too. Keep these things in mind while drawing, and good luck!
Edit: As an example of how helpful looking at negative space is, drawing the penguin itself looks pretty complicated, right? But if you just draw the simple blue triangles/pentagons I put around the penguin, the shape of the penguin/penguin's wing reveals itself easily. Remember to keep checking your negative vs positive space to be sure it's all in balance!
Check out "Drawing on the Right Side of the Brain," too, if you want more advice like the above...the book talks way too much in my opinion, but there's some good info in there if you dig around. =)
Edit edit: Ah, you ninja'd me while I was posting, hustler! You fixed the pointiness of the wing in this one, which is good, but now it looks like his wing is pointing down and out to his side, like he's saying "hey, you want some of this?!" Try to get his wing pointing up again, heheh. Good luck! =)