- [after a gunshot shatters a mirror]
- Penn: Let me tell you something mister. That had better be a blank at that window, and a squib behind that mirror, because if you hired someone to fire off a real gun between us, I don't think that's funny. Actually a blank and a squib is only mildly funny.
- [last lines]
- [narrating from beyond the grave as the camera pulls back]
- Penn: [voice-over] Oh, yeah. We're dead and there's no way out. I mean, it couldn't be a gag, it couldn't be a joke. We're not gonna have one of the characters wake up from a bad dream; you'd hate us for that! I mean the movie is called 'Penn & Teller Get Killed.' We HAD to get killed at the end, there's no way out of that. We were married to that ending from the moment we thought of the title, and now we've actually killed off ourselves, and there's no taking that back. And this whole pullback, this is not us going to heaven. We're just dead. I mean, those were suicides, frowned upon by every major Western religion, and Atlantic City is in the Western world, so... Penn & Teller are dead. That's it. Thanks. Hope you enjoyed it. You can imagine the sequel thing is kind of a bitch.
- Teller: [voice-over] Why didn't we just use different names?
- Penn: Damn!
- Penn: You tied me to an operating table, forced Uncle Ernesto to go at my throat with a scalpel. That was funny.
- [after Penn gets shot]
- Woman in Parking Lot: In the shoulder, huh? Well, at that range you were lucky.
- Penn: No! I just got shot, that's not lucky. Lucky is winning the lottery.
- Woman in Parking Lot: Hey, aren't you that guy who goes on TV and asks people to kill him?
- Penn: I didn't ask people to kill me, I said I wished someone were trying to kill me.
- Woman in Parking Lot: You said that on national TV? There's a lot of nuts out there! You're lucky I don't have a gun or I'd blow your fucking brains out.
- Penn: Yeah, I'm the luckiest guy in the world. Mr. Lucky just got shot in the arm!
- Penn: Thanks. You've kept me alive and taught me a very important lesson: One should never go on national TV and beg psychopaths to kill one.
- [Teller is trying to pull a knife out of Penn]
- Penn: What are you trying to do? Twist the knife? Look, pretty soon I'll pass out. Then I'll go into a coma, and then I'll die. During any one of *those* times you'll have *plenty* of opportunity to play around with the knife. Until then just keep your paws to yourself.