Madagascar/WMG

Alex is a closeted homosexual.
The sequel explains it.

King Julien XIII really is the most sane of all the Lemurs. That's why he's king.

 * Amazingly he seems to grasp almost everything going on. He understands that The People are dead (he just doesn't care) he understands that the Foosa are deadly, and really does come up with the plan for using the new Freaks to scare them away, which would be a good idea if it weren't for the fact that Alex is part of it. And he has a fairly good idea for getting the New Yorkers on his side. In the sequel, he initially doesn't really believe that a sacrifice in the volcano will get water (although he seems to by the end), he just seems to suggest it to get attention. Yes, he is crazy, but very few if any of his ideas are disagreed with. He doesn't do it by being the strongest and scaring people; he does it by being the most sane resident (and telling people to shut up a lot).
 * The one-eyed king of the land of the blind, then?

The watering hole in Escape 2 Africa is a special case, resulting from a pact between herds.

 * From the look of things, the watering hole is the only water for miles. Sometime in the past, the then-ruling alpha lion declared the watering hole a safe zone, where prey could be safe. In exchange, the prey would help him defend his territory, should a threat arise, such as a rival pride of lions. This way, the herds of prey could get water without fear of being eaten, and the lions would have a large army of allies. In the generations since then, the lions and other predators have done their hunting away from the watering hole, preying on wandering herds. As a result of all this, the prey animals at the watering hole have lost their fear of predators.
 * So it's like the birthing/crowning ceremonies in The Lion King?
 * This theory is similar to the Water Truce in The Jungle Book: in the dry season, the river bank is a safe place where predators and prey can drink together.
 * It's also Truth in Television - in Africa where everything is trying to eat everything else, a watering-hole is actually a fairly safe place for animals to mix. Not always safe, of course, but people have witnessed lions and their various prey relaxing in close proximity at waterholes.

The third movie will be Darker and Edgier than the first two.

 * In the past few years, Dreamworks Animation films, particularly the sequels, have had darker moments and storylines. Thus, it's very possible that the third movie in this franchise will be the same way.
 * The trailer shows that the villaness has a mounted puppy head on her wall.

The Penguins will be even more important in the third film.

 * The penguins were just background characters in the first film. They had some important duties in the second film, even if they weren't the stars. In the trailer for the third film they are an important focus and seem to be part of the attraction for the movie. Their badassery has even been Flanderised. I think they're going to be co-stars for the third movie. They have become VERY popular thanks to The Penguins of Madagascar spin-off series.

We'll see Rico get his scar in the third film.

 * To make the penguins easier to tell apart like they are in the series.

The third movie will set up Alex with Marty.

 * Think about it. He's already flamboyant enough for it, and he seems to care mainly about Marty, not so much the others. Also it would be about time a mainstream movie did this.
 * Oh, come on - it's a kid's movie. They have trouble featuring lasting romances between heterosexual couples, let alone homosexual couples.

Alex and Marty will sing a Triumphant Reprise of "New York, New York" once they finally get back home.

 * Jossed. They didn't sing at all after get back to the zoo.

Denmark will play an important part

 * In Penguins of Madagascar Skipper mentioned that Hans the Puffin framed him for something in Denmark and now he is banished from the country. Considering how Denmark is in Europe (Well, Scandanavia) and the movie is now borrowing stuff from the TV show (Rico can throw up larger items and more easily, Skipper's personality has been changed to the TV show one) and Skipper on the TV show has shown at least once that he knows about the movies (Despite existing in a different continuity, Skipper hallucinated Alex who retained most of his movie personality and blatantly referenced the movies) so Denmark may be carried over too.

The Circus will arrive in Denmark, after Skipper warns them he can't enter, and once they cross over Skipper is targeted by the Police. Rico gets captured in his stead, tortured, and we get the scar, show off the Penguins awesomeness when they rescue him, and set up Animal Control realizing that the Animals are at the Circus.
 * Wouldn't it be awesome if that came true?

Madagascar 3 will evaluate the three leaders
We have three teams by the time Madagascar 3 rolls around.

Team Penguin (Leader: Skipper) They work together, understand their strengths and weaknesses, and get stuff done. Skipper may be a bit crazy, but he is very competent and Heaven help you if you hurt his team.

Team Lemur (Leader: Julian) While he wants attention, he tends to stay out of the way. they survive, but don't thrive.

Team Mammal (Leader: Alex?) One of the clips released showed the Mammals arguing over who was their leader. Alex claimed it was him, but the others wanted their own chance. Since they are disorganized (compared to the Lemurs and Penguins) they're going to have trouble keeping everything together until they work out who is their leader and work through their problems.