The Character switcher is seen in both Madagascar 1 and 2, the video game.
It'll be found in Jungle Banquet for Madagascar 1 and The Watering hole for Madagascar
2. There's a difference in between both, In the 1st version, they have it only from Jungle Banquet to Final Battle. And when you get it for the 2nd version, it appears in all of the levels.
Disclimer:Don't have Madagascar 1 or 2, so somebody can edit this.