I have seen this show probably three times and I saw their show before they got a permanent show at the Rio. The previous time I saw it was probably 6+ years ago.
What's impressive about this show is that not a single trick from the show I saw last week (March 9, 2016) was in any of the previous Penn & Teller shows I had seen. It's all new material.
I have seen pretty much all of the Vegas magician shows - Siegfried & Roy, Lance Burton, Copperfield, Steve Wyrick, Mac King, etc. What makes P&T unique among Vegas magicians is their penchant for showing you how some/many of their tricks work without ruining the trick. You get to learn more about illusions while still being able to appreciate them. No other magic act in Vegas does this.
Two tips:
1) Before the show starts, there is a piano and bass jazz duo. The guy who plays the piano is the announcer and plays throughout the show. The tall guy who plays the bass is Penn, though no one ever announces that.
2) Some of the acts in this show are in their show "Fool Us".