This one is definitely Rocket Mania.
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What you're describing sounds and looks very much like the game Flicky, except Flicky is dark blue. Also, he flies, so definitely not a penguin
Flicky is included on the disc Sonic's Ultimate Genesis Collection (PS3 and 360). Incidentally that collection is on disc only, there's no digital download of it, but I think you can find it by other means.
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I'm sorry I can't help you with this one. You might want to start by Googling Marble Madness and work from there.
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Thank you for the drawings, they were very helpful. I think one huge obstacle to new users getting help here is that they don't even bother to mention which platform they remembered playing on or what the game generally looked like, so your efforts paid off. As you can see your memory of both Rocket Mania and Flicky were pretty accurate!