Penalties are great. The suspense in a penalty shoot out is unparalleled in professional sport IMO. I've never felt how I did during the shootout at the CL final in Moscow. Just shaking with emotion. I don't think any other part of football, or any other sport, can really come close to that. It's simultaneously brilliant and horrible.
If after two hours, two teams still can't be separated based on ability, then it's very fitting that it then comes down to mental strength instead. Any professional player should be able to dispatch a penalty no problem, but to do it under that much pressure, with heavy cramping legs is a different matter. Even Ronaldo missed in 08. Our designated penalty taker at the time.
It isn't as much of a lottery as pundits would have you believe, but I think there's still an element of luck involved. Fatigued legs aren't going to be as confident at taking penalties as they usually would, and unless you put it right into the top corner, the goalkeeper has a chance of saving a penalty if he goes the right way, perhaps makes his decision slightly early and commits himself right across the line. The player can make a scuffed connection, or as we all fondly remember, you can fall down right at the last crucial moment.
Penalties are wonderfully brutal.