An interesting factoid about Feathers McGraw is that he was in fact not animated by Nick Park, but by his colleague Steve Box, who is obviously a very talented animator in his own right. McGraw is a very different character to Wallace and Gromit, and this quality is only enhanced by Box's distinctive mode of movement and characterisation. McGraw's status as an interloper into Wallace and Gromit's lives is highlighted by his otherworldly stillness and sinister, expressionless visage.
In his civilian identity, McGraw is known simply as Penguin. "Feathers McGraw" is a nom de guerre assumed when he disguises himself as a chicken in order to carry out his heinous crimes. For this disguise, McGraw places a red rubber glove on his head as a coxcomb or caruncle, and his true identity as a penguin is effectively masked (only when his glove was removed did Wallace recognise, too late, the lodger he had foolishly allowed into his house).
McGraw now inhabits a cell in Wallace and Gromit's local zoo, a state of affairs surely intolerable to an adventurous personality such as himself. In one of the final scenes of The Wrong Trousers, we see him struggling vainly against the bars of his cell, emitting the only sound we ever hear from him in the film: a chilling growl of frustrated rage. A poignant coda to a career of unbounded villainy, and a salutary lesson that for penguin, as for man, crime doesn't pay.
Footnote: When Gromit is locked up in A Close Shave, the graffito "Feathers was here" is visible on the wall of his prison cell. Thanks to sam512 for this snippet.