I've only used their online store, since I live in the San Francisco Bay Area, so I can't review their brick and mortar shop but as far as online shopping goes, they're great. Very basic online presence, which is fine with me.
The quality of their spices is top notch, their blends are interesting, their gift sets are really handy and I like the fact that they offer a wide range of sizes for most of their items. From an 8oz bag to a .2oz jar. of basil to a 1lb or 1oz bag of star anise. There is often the choice of whole spices or ground as well.
Some fun exotic goodies as well like sanaam chili peppers, charnushka (nigella sativa) or mahlab (sour cherry)....
So far I also like all their blended spices as well... grill rubs, chicken seasonings... haven't tried their salad mixes or cheese sprinkles yet but I'm sure they're good. I've ordered from Penzey's numerous times and they've never let me down. They're very consistent.
Be sure to get their catalog mailer which comes with helpful recipes and suggestions. Then get cooking. :)