I'm currently watching this anime and it's pretty interesting. It's directed by Kunihiko Ikuhara, who also directed the Revolutionary Girl Utena anime, and I can see some of the similarities between the two. It's about these two brothers who's sister died and came back to life by a mysterious penguin hat. In exchange for their sister's Resurrection, they have to find the Penguindrum, whatever it is.
Talk about it here.