You have Penn Jillette all wrong. Penn is a libertarian, which really means that his overall views don't fit into the "left vs right" dichotomy. On civil liberties issues, he could be considered a liberal in the classical sense (i.e. not what is thought of today as "liberal") in that he wants people to be free to do what they want with their own bodies and their own property. On the other hand, you could (and I would) consider him a good conservative on civil liberties because his stance is that the government should stay out of people's business, which is a pillar of conservative thought.
On financial issues, Penn (along with almost all small-"L" libertarians) makes most of the "fiscal conservatives" of the (R) party look like FDR.