I just caught the re-run of the episode with Penn Jillette in it on my cable on demand. I hadn't even seen an ad for it (though it's been a busy quarter.)
I thought it was great! I didn't like some of the exposure, but I loved all of the little in-jokes. Like naming the victim after Mercedes Talma, a name that only serious magic lovers remember (and whom my sphinx cat is named after.)
Penn was funny as himself too. And the old magic warehouse was fantastic!