In their China trip in Magic and Mystery Tour, Penn and Teller befriending a family of Chinese magicians, with an uncle of the family giving them an eye-poker tool as a gift. Teller would later show off his eye-poker in an interview footage.
Penn and Teller have sponsored a "13 Bloody Days of Christmas" blood drive in Las Vegas for many years, including free show tickets for all blood donors.
The nail-gun trick is about Penn supposedly memorizing a long non-repetitive sequence of nails and empty space to perform a trick where he risks impaling his hand if he gets the sequence wrong. Later into the trick, he explains that he finds risking self-harm for a trick to be unethical, and to drive the point home that it's all an illusion, he performs the last empty shot in the neck. But to more convincingly demonstrate that the trick is completely risk-free, he aims it at Teller's neck instead of his own, and says "I think that proves it."