I saw P&T once in Vegas, but I saw them twice in Berkeley and once in SF. I love the running gag of Teller being totally mute, although I have heard him talk after the show is over. As Vincente said, it's not this huge crazy flashy show. It's good old-fashioned magic with a bit of humor and sometimes a wickedly dark side.
After a show at the Curran, I met them and they signed my ticket stub. Surreal and awesome moment. Rumor is that they don't get along in real life. If that's true, just goes to show you how influential money is. I'm disappointed in their movie Penn & Teller Get Killed, but the life show is worth every penny.
One of the most simple, honest, and entertaining of their gigs is when Penn plays the bass while narrating a skit showing how Sleight of Hand works. Fantastic! http://youtube.com/watch?v=_qQX-jayixQ