The Central Theme of the show- and one of its more consistent Aesops- is that thinking outside of the box and being creative with the tools you are given can be a good thing. Penn, Boone and Sashi often win not because of strength or combat skills- thought this does help, but because of their ability to adapt to alien situations and their willingness to improvise based on the circumstances.
The episode that best represents the "creativity is a good thing" moral is the episode Rock and Roll. In it, Penn is told that the mission will involve spycraft, and immediately imagines himself in a James Bond-like setting, where he's equipped with high-tech gadgets and weaponry. The world they are zapped into could not be farther from the truth- it's a world of cavemen running on standards so primitive that makes the Bamboo Technology from The Flintstones look like it was made by a collaboration between Nikola Tesla, Tony Stark and Bill Gates. Their mission is to prevent a large rock from rolling down a mountain and crushing the headquarters of the CLIA (Cavemen Low Intelligence Agency), which is simply that: a large rock with no advanced technological or even magical properties. The CLIA's "satellite technology" involves strapping a woman to a large rock and launching her into the air, and when she lands, she draws a map of the area, using an intercom involves throwing a rock labeled "Intercom" at someone, and Penn's high-tech spy car is simply a log that has to be pushed around. (This begs the question why they don't simply roll it, but that's beside the point.)
Penn is miffed by all this, and due to his disappointment in the world they are zapped into, jeopardizes the mission. In fact, Rippen actually gets the upper hand on them because he's able to adapt and create, inventing several items using the resources available to him, including a wig made out of grass, a net and tripwire system constructed out of vines and rocks, and a deathtrap which involves luring a saber-toothed tiger pulling a weighted sled to crush the three heroes. If not for the fact that Rippen left without making sure the three of them died, he would have gotten to the rock and won.
Penn, realizing that he should make the most of the world instead of bemoaning its lack of technology, starts using it to his advantage, creating a fire with rocks and a stick (and unintentionally discovering it in this universe) to escape the trap, and using the log to create a makeshift smoke screen, catapult and even taking a cue from Rippen to create a net using vines.
Rippen almost always loses, but never because he is uncreative or close-minded; one of his first lines in the series is even "Open your mind, boy!", spoken to Penn when he fails to find a magic sword in a stone note . All his loses are either due to the heroes being more creative than he is (Chuckle City, where Sashi managed to learn how to work on Rule of Funny), unfortunate luck(Chuckle City 500, where Larry won due to a freak accident with his own vehicle that launched him to the end of the race), overconfidence in his abilities or the heroes' weaknesses (North Pole Down, thinking that Penn would blow the mission to get his only way of communicating with his parents back) or, in one case, intentionally blowing the mission so that another villain didn't win in his stead. Rippen's civilian occupation is even an art teacher at Penn's school, perhaps meant to show that being open-minded can be an advantage to you, regardless if you're a hero or a villain.