What are the stuffed toys in Suguha's room?
I'd say the cat-looking things in front are a type of nesting doll (matryoshka doll). Specifically this:

From http://bobobabushka.wordpress.com/2010/12/31/lucky-new-year/



The Penguins themselves might be a generic penguin plush toy. Remember that people keep all sorts of things in their bedrooms, and wouldn't display anything they didn't find visually appealing. Plush toys are considered cute. 

In the first image, the dog-like stuffed animals are Capybara-san. This is also a cute thing.

If you want to make a connection. Capybara-san and Mawaru Penguindrum are toys put out by Banpresto, who also puts out SAO figurines.