The STL Zoo is a crazy place. First of all it's free: which makes it awesome because you can go whenever you want and it also brings out some amazing people on beautiful weekend afternoons. I could have spent the day watching people instead and had just as much fun.
The highlight of the zoo has to be their penguin exhibition, Penguin & Puffin Coast. It starts out with a waiting area where you can watch some warm climate Humbolt penguins play in their pool, but the real treat is when you go inside the exhibit. This is the climate controlled area where they have rockhopper, gentoo, and king penguins. It's the first walk-through sub-Antarctic penguin exhibit in North America and it's a free for all. What's amazing is that they let you get so close to the penguins you can practically reach over and grab one if you wanted. I've had some extremely up-close and personal visits with penguins at zoos (see comments), but this one trumps them all. Because they only let a certain number of people through at a time there's no crowd to fight with, which makes getting great views of penguins possible for everyone. Also there's no one to really rush you through, so you can spend as much time as you want in there, as long as you can handle the cold. It really is a wonderous exhibit and if I lived in STL I would probably go all the time. It's one of the best zoo exhibits I've ever been to and shouldn't be missed if you live or are visiting in St. Louis.