"Despite a popular perception that male-female pairings are the only "natural" way, the animal kingdom is actually full of examples of same-sex couples. Penguins, dolphins, bison, swans, giraffes and chimpanzees are just a few of the many species that sometimes pair up with same-sex partners."
Sometimes the activity is prolonged and seems quite purposeful. Scientific American described a pair of male chin strap penguins- Roy and Silo- who not only mated but built a nest, rolled in a rock and sat on it. The zoo keepers eventually substituted the egg of another pair of penguins who were having trouble hatching it. The guys successfully hatched it and fed the chick with regurgitated fish just like mama used to do.
An even wider set of behaviors are described in Wikipedia.
For a highly entertaining and encyclopedic review in the form of an advice column, try Olivia Judson's book, Dr Tatiana's Sex Advice to All Creation. We will have to be satisfied with it for some time. She is taking a one year sabbatical from her New York Times Blog.