The penguin logo that displays when you choose framebuffer mode on LILO is defined on a file named
linux_logo.h
I use fblogo (@freshmeat) to generate a new one, for example:
http://linuxbr.org/ss/linux_logo.png
In that case, I also "hide" the kernel messages, changing console to tty12 for instance:
append="console=/dev/tty12 CONSOLE=/dev/tty12"
Besides replacing the logo and altering the lilo.conf, you need to specify your new logo attributes on fbcon.c (usually /usr/src/linux/drivers/video/fbcon.c). Recompile the kernel and that's it.
For the new kernel, 2.5/2.6 the procedure is different, there are some programs being developed for that matter like bootsplash.org.