Green Glass Door
This isn't really a penalty type game but I suppose it could be if you wanted. The game starts with somebody who already knows the pattern (for our purpose, let's call him King Moshushu III) asking one member of the drinking group, "What do you want to take through the Green Glass Door?" The person answers with an item and Barry answers either "Yes, you can take a (insert item stated) through the Green Glass Door." or "No, you can't take an (insert item) through the Green Glass Door". King Moshushu III then continues to ask each other member of the group what they want to take and answers yes or no until everybody has figured out the pattern. If a member or two of the group is either blind drunk (like I was...) or just a bit slow on the uptake, King Moshushu III can suggest some more obvious items in succession to take through. The pattern is all items must contain a double letter. E.g., you can take a beer but you can't take a scotch and coke. If you start by trying to link the items together you will confuse the newer players. The penalty can simply be when a player can't take an item through they have to drink.
Happy - but Sugars introduced me to this game