The very best time to go to this Peninsula to see the wildlife is from May to Decemeber. During these months you are guaranteed to see the Southern Right Whale and you won\'t even have to leave Puerto Madryn if you don\'t want to do so. Just walking down the beach right off the boardwalk from downtown you can see whales out playing in the water and they are constantly jumping and splashing around. It is mesmerizing. Of course on a tour of the Peninsula you will go out on a boat and see even more of them. Check out this article: http://argentinastravel.com/65/puerto-madryn-tourism-and-whale-watching-in-the-valdes-peninsula/
Out of the main season for whales you should still ask around if any have been spotted because their migration patterns change and everyone is always anxiously awaiting their return. But even if your timing is off with the Southern Right Whales, the Killer Whales are definitley around in March. From Feb to April and Oct to Nov they hang out at Punta Norte which you will visit on a tour of the Peninsula.
You are pretty much guaranteed to see Penguins year round so if you arrive in March there will be some there, just not such huge numbers. The penguins can be found at Punta Norte as well, but the penguin \'village\' where they hang out in mass numbers is in Punta Tombo. The seals and sea lions will be around most of the time as well.
And then of course on a tour you will see all kinds of land animals that are indigenous to Patagonia as well. Guanacos, nandu, maras, snakes, and even a tarantula made it into my first tour.