You might have noticed that the other reviewers are British. And they lament that this show is not available in the U.S. Well it is now.
If you like magic--sleight of hand, comedic routines, or the big production numbers--you should like this show. Penn & Teller are Las Vegas headliners and staunch advocates for the field of magic. Here they invite other magicians to perform tricks/illusions that they, P&T, cannot solve. There is a certain level of trust required in this. First, you must believe them when they say there are no camera tricks, no editing tricks, and that the viewer (you) is seeing what they themselves see live. Secondly, you must trust that when they say they have solved a trick, they actually have.
There is no reason not to trust them. They have a reputation of being totally honest. If you watch some of Penn's videos on the internet, you will find that he always speaks his mind and, evidently, cares not one whit for conformity. Also, there is an honor among those who practice the magic arts. It stretches back centuries. When P&T say they have unraveled the mystery of an illusion, without saying too much about the solution (because they do not want to spoil it), you can bet they have. They appreciate artistry and craftsmanship. They can be lavish in their praise for those who have mastered an illusion, even if P&T are not fooled by it.
Occasionally they are fooled. In those cases, the magician gets an expense-paid trip to Las Vegas and the opportunity to perform on their stage.
You have probably seen some of these tricks. Others are very original. But the level of the performances is always high. No fooling.
Update 9/16/2016: If there is doubt about whether or not P&T have effectively deciphered a trick, there are judges to make the final decision. They are the final arbiters. I have seen them decide that P&T were fooled when P&T thought they had the solution.