The show was delightful, although they did about 80% of the same tricks that I've seen them on TV/YouTube and in Vegas. Later, I got in the mood to do some more reading on them and happened upon this interview they did awhile back for Reddit. In it, they're asked by a fan whether they ever do any tricks that have taxed them in terms of technical precision.
Penn refers to a section from Steve Martin's book, Born Standing Up:
I learned a lesson: It was easy to be great. Every entertainer has a night when everything is clicking. These nights are accidental and statistical: Like lucky cards in poker, you can count on them occurring over time. What was hard was to be good, consistently good, night after night, no matter what the abominable circumstances.
For Penn and Teller, this means they can't do anything that's physically taxing or extraordinary, because they do their show five nights a week. They can't be on the "razor's edge" of skill because there can't be a risk that they'll be unable to reproduce their act thousands upon thousands of times. What a profound way to look at things - you don't need to be incredible; just pretty good, all the time.
So they're good, but they're not great. And that's actually the bigger challenge.