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The movie features examples of:

• Author Tract: The duo really do love to expose fakery like psychic surgery. Which makes sense considering their television series Penn & Teller: Bullshit!.
• Be Careful What You Wish For: Everything starts with Penn wishing someone were trying to kill him. It turns out no real attempt was made on their lives, however, as they were all part of either Penn or Teller's trick.
• Black Comedy: Oh yes.
• Bloodless Carnage: At the end, surprisingly given it's rated R and does feature plenty of fake blood during Penn and Teller's magic routines. Especially noticeable when Teller has shot himself in the chest and we go on to see many clear shots of the body with no blood on his shirt whatsoever.
• The Cast Show Off: Several scenes feature Penn and Teller just performing magic tricks. A couple don't seem to serve any other purpose than just showing off their magic, such as the one where some reporters ask Teller what he hates about magic and he silently does a bunch of standard magic tricks with a flourish before simply leaving.
• Chekhov's Gun: The gun that Teller buys for self-defense is thrown away when it seems things have been cleared up, but returns spectacularly to significance by the end.
• Deadly Prank: Both Penn and Teller end up dead as a result of Penn's prank. So do at least ten other people, in fact. And possibly the entire rest of the world's population.
• Deliberately Monochrome: The parodic sequence near the middle where Penn is narrating and writing the "memoirs of the hunted" is black-and-white. When the policewoman comes in and ends their noir fantasy, the color abruptly returns to the picture.
• Despair Event Horizon: At the end when Teller realizes he just killed Penn.
• Downer Ending: It ends with everyone dying. And then Penn's voiceover at the end takes care to assure the viewer that the pull-out shot of the city is not an implication that they went to heaven; they're just dead. Every major Western religion disapproves of suicide, after all.
• Driven to Suicide: More than you can count, though most of them are very much Played for Laughs. First Teller, upon realizing he has actually killed Penn; then Carlotta as she realizes they're both dead; then the actor playing the Fan, as he realizes the whole apartment is set up to make him look like a psycho who wants to kill Penn and Teller, and he thinks he couldn't handle prison; then his friend as he realizes being associated with this would kill his potential career in politics; then the office-work-loving policeman who never wanted to see something like that; then the nearly-retired other police officer who came with him; and then still more unseen people who discover the scene as we pull out over the city. It is implied this starts a worldwide wave of pointless suicides.
• Escalating War: A lot of the movie revolves around Penn and Teller playing increasingly mean and elaborate tricks on one another. In fact, it turns out the whole movie revolves around that.
• Exactly What It Says on the Tin: ...yeah.
  Penn: 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 and Teller are dead. That's it. Thanks. Hope you enjoyed it. You can imagine the sequel thing is kind of a bitch.
  Teller: Why didn't we just use different names?
  Penn: ...Damn!
• Foregone Conclusion: Yup.
• Gilligan Cut: Right after Penn says that even "the bad boys of magic" don't reveal how their tricks are done... the scene shows exactly how it's done.
• Gone Horribly Right: Penn's final prank is about scaring the hell out of Teller. And it really does.
• Happily Failed Suicide: Set up with the Fan's friend, complete with dramatic slow motion as he pulls the trigger only for the gun to be out of bullets. Then it is thoroughly subverted as his actual reaction is to be annoyed, look around the room for more bullets (which takes a while) and then do it successfully.
• Heroic BSOD: Teller, after he shoots Penn.
• Hoist by His Own Petard: Penn's final prank goes a wee bit wrong for him.
• Ironic Echo:
  • In the opening segment on the talk show, Penn shouts "Are we live?!" regularly and has the audience respond, to assure TV viewers that the performance is in fact happening live and no editing trickery is involved. After capturing Teller, the Fan starts reenacting the segment, and the insane, growling voice in which he says "ARE WE LIVE?!" is possibly the most unsettling part of it.
  • Additionally, after each trick the pair play on one another, the phrase "No hard feelings" is used. The last time it is used is a bit more serious.
• Kill 'Em All: Everyone involved dies at the end. And then a bunch of people who weren't involved at all die too, for good measure.
• Loony Fan: The Fan who is trying to kill them. Except it turns out he was an actor hired by Penn.
• Metal Detector Checkpoint: The Escalating War starts with Teller ensuring repeatedly that the metal detector gate gets set off every time Penn walks through it.
• Mood Whiplash: At the end, there is one dead serious scene, in stark contrast with most of the movie. It then evolves into a sequence of increasingly ridiculous suicides, in what may be the funniest part of the entire film.
• Motor Mouth: Penn as he's trying to distract the psychic surgeon who is trying to kill them.
• My God, What Have I Done?: See Heroic BSOD.
• Never Live It Down: In-Universe - after their talk show appearance at the beginning, everyone thinks of Penn as the guy who said he wanted people to kill him on national television.
• Noir Episode: The black-and-white sequence, where Penn suddenly smokes and attempts a (hilariously over-the-top) variation of a Private Eye Monologue.
• Once for Yes, Twice for No: While blindfolded on an operating table, Penn asks Teller to do this to confirm he's there several times, to no avail.
• OOC Is Serious Business: At the end, Teller actually speaks. First he says "Listen..." when he walks into the Fan's apartment, and the latter lampshades it ("Come on, Teller! The audience knows Teller doesn't speak!"). Then, later, he drops the silent persona completely when he realizes he's just shot Penn and demands some answers. The trope name is very literal here: this is a realistic reaction, completely out of tune with the logic the rest of the movie runs on, that establishes this as the one dead serious scene in it.
• Out-of-Genre Experience: Most of the movie is very silly, despite its dark subject matter - but then at the end, there is a single scene which takes itself completely seriously, with not a shred of comedy to it, black or otherwise. After Teller shoots Penn, he stares for a moment and then speaks, in a squeaky, frightened, disbelieving voice: "That's Penn! What is going on?" When it dawns on him that Penn was playing a trick on him, he starts laughing hysterically as he latches on to the conviction that they switched his gun with a fake gun at some point... and then Carlotta denies it, he shoots the gun and finds it is indeed real, and it becomes clear that Penn is not waking up. Teller chuckles a little bit more, says "No hard feelings," and shoots himself. Carlotta, in shock, starts sobbing, roaming aimlessly around the room while burying her head in her hands, and finally jumps out the window. ...And then it turns into one of the funniest sequences in the entire film.
• Phony Psychic: Psychic surgeons. Except it turns out there weren't any psychic surgeons - well, there probably are, but none of them actually appeared and the guy we thought was going to see a psychic surgeon actually wasn't sick.
• Reality Ensues: After the whole movie has been a pretty silly comedy about Penn and Teller's stage personas thinking assassins are after them, the characters react completely realistically to Penn's death, including Teller dropping his stage persona altogether. Of course, then comes the end.
• "The Reason You Suck" Speech: The policewoman delivers one against Teller at the end, ranting about how he's always there making funny faces in the background while Penn talks but really he thinks the morbid routines up with him and is "too sick to even express [himself] in words".
• Retirony: The older police officer who comes in at the end mentions being about to retire, minutes before committing suicide.
• The Reveal: Several times. First, near the middle, we find out the whole thing with the psychic surgeons was a trick Teller was playing on Penn. Then the policewoman reveals that she was actually working with the Fan and behind everything. And then we discover actually the policewoman was Carlotta all along, working with Penn and the Fan to trick Teller as a means of getting back at him for the kidnapping thing.
• The Silent Bob / The Voiceless: Teller for most of the movie, true to his normal stage persona.
• Smoking Is Cool: Penn randomly smokes in the Film Noir-parody Deliberately Monochrome sequence.
• Stupid Statement Dance Mix: The Fan made a montage video out of Penn and Teller's appearance on the talk show at the beginning.
• Suicide As Comedy: The end has this, to extreme levels: it is implied that it sets off a wave of increasingly ridiculous suicides around the entire world.
• Take Me Instead: Parodied; when they're being kidnapped, Penn shouts "Do what you want to the girl, but leave me alone!" Penn also gets the psychic surgeon to go for him rather than Teller while they're strapped down on medical trolleys, since Teller is well on his way towards sawing through his restraints with a pocket knife, but that's just because at that point Penn's only hope is for Teller to break free and fight back against their captors; he isn't trying to be self-sacrificing.
• Twist Ending: The entire film has just been Penn and Teller playing tricks on one another; there never was a real assassin after them at all. Which doesn't stop them from getting killed anyway, of course.