Madagascar for the GBA and DS have their fair share of tricks and I will go over the basics here. Everything here applies to both versions.

Movement: when it comes to movement speed, the overall difference in speed goes Marty > Alex > Melman > Gloria. Marty is by far the fastest character when he is running so Marty is used the most often. Marty also has the highest single jump and he naturally has the furthest as well. An important thing to note is that if you switch characters in the air, you will keep the speed of the character you jumped with so if you jump with Marty and switch to Alex, Alex will still be moving at Marty's air speed.

Double jump storage: Normally, if you switch to a double jump character in mid air (Alex/Melman) you cannot double jump with them. However, if you do a single jump with these characters and then switch to another character in the air, you will store their double jump. You can also store a double jump if you fall off a ledge with Alex/Melman and then switch characters. So if you jump with Alex for example, you can switch to Marty and then when you jump as Marty, you can switch back to Alex and this will allow you to perform his double jump, all while keeping Marty's speed. This is very useful as you can use this to make further and higher jumps. Marty's jumps far outclass Alex's and Melman's and combining Marty's speed with their double jumps can lead to numerous strats which are normally not possible. The main downside is that you do have to set up double jump storage, having to use Alex/Melman for a moment rather than Marty but it can definitely be worth it in some situations, especially if you can set it up by running off a small ledge. This existence of double jump storage also means you can triple jump if you wanted to.

Trampoline double jump storage: if you jump on a trampoline (a bouncy flower or branch) as Alex or Melman, it will not only restore their double jump if they have already used it but it will also give them double jump storage (if you switch to another character before landing). This is naturally very useful when you combine this with Marty's movement speed and it wastes no time to set up at all. You can just jump at a trampoline with Marty and then switch to Alex/Melman before you land. They will gain double jump storage which you can either use immediately or store for later.

Melman's double jump: Melman's Double Jump functions rather interestingly. If you double jump while holding a direction, Melman will slow down to a set speed. If you perform a double jump without holding a direction however, Melman will retain his air speed, allowing him to jump significantly further. This is especially useful with double jump storage as jumping with Marty and double jumping with Melman (without holding a direction) will allow him to jump extremely high and extremely far at a quick speed.

Triple jump: The first step to getting a triple jump is to get double jump storage with Alex or Melman. You then have two options - 1. Double jump with the other character and then switch to the characer with double jump storage. 2. Get double jump storage with the other character and then whenever you want, jump with Marty and use both Alex and Melman's double jump within the same jump. The main advantage with triple jumps is that they give you more height which can allow you to make jumps which normally are not possible, even with double jump storage.

Damage boosts: this one is fairly simple. If you get hit, you take knockback. The amount of knockback you take depends on the character, with Alex having the least and Melman having the most. The direction you get knocked back depends on what position you got hit from (the front or back). Naturally, this knockback can be useful in spots, allowing you to go faster in some instances or even perform certain skips. You also have a fair amount of invincibility after taking damage which can also be exploited in areas.

Animation cancelling: if you switch characters, it can cancel various animations. One useful instance of animation cancelling is cancelling attacks. You can attack and then switch characters to cancel the ending lag of the attack. You can also switch characters to cancel Marty's standing up animation after crawling through a tunnel.

Hurtbox shifting: Every character has a different sized collision box to interact with pretty much everything in this game. Alex has the tallest hurtbox while Marty has the shortest/widest. This can be taken advantage of in some areas. In Lemur Liberation for example, you can jump with Marty and then you can switch to Alex or Gloria to grab a Lemur Marty cannot reach. You can also use this to avoid hits as another example.

Character switching near a goal post: if you switch characters when you are above or below a goal post, you can hit the goal post in the air, even if you are far above/below the goal post. This can be useful in a few spots, allowing you to hit the goal post faster.

Trampoline teleports: if you switch characters underneath a trampoline, there is a chance that you will jump off that trampoline despite being below it. I'm not fully sure how exactly it works TBH, it's inconsistent as far as I can tell.

Knockback cancel: this is probably the most precise trick in this game. If you switch characters 2 frames before taking a hit, you will change characters, take damage but you won't take any knockback. This has the potential to allow for useful damage boosts and it is heavily taken advantage of in the TAS. The main complication of this exploit however is that it is frame perfect. You need to know exactly when you are going to get hit and you need to switch with perfect timing. Because of this, this exploit is pretty difficult to get in real time and you will largely find yourself getting it unintentionally. There are a few spots in an RTA run where we can go for it but you can't guarantee you will get it at all. A neat detail about knockback cancelling is that if you do it on your last piece of health, you will not die. You will end up in a zombie state where you cannot switch characters. Getting hit will make you die, getting health will restore your health and you can switch characters again. This can maybe save you in the right scenarios but it can also make it impossible to progress in the wrong scenarios.