This is definitely a must-do in Vegas. Penn & Teller are such legends and its amazing what a quality show they put on after having done this for so long. They could have easily just phoned it in but I really appreciate the effort they still put in.
This show is not a non-stop magic show, but that's okay. They do some very interesting and unique tricks. There's also a lot of commentary, and a times it can get political, but nothing too crazy. If you've ever watched an episode of "Bull****" you know what you're in for.
I'm also happy to say that I've seen their Vegas show twice - 4 years apart. During my second viewing there was only one bit I recognized, the rest was pretty much brand new.
Definitely get there early to see some awesome jazz, but to also see Penn play himself. And then after the show, stay for some free pictures with the guys. So many people these days charge for meet & greets. It's awesome to see celebs like Penn & Teller still offer it for free. Plus, you'll get to hear Teller talk.
The only thing not worth it are the drinks. They are SO outrageously priced. But you do get a cool cup, so there's that.