Penn and Teller's strange method of entertainment (their Obie was awarded to them for "whatever it is it's called they do") is basically self-conscious performance art that happens to have its roots in magic. This makes their shows at once more fun than your average performance art and more thoughtful than your average evening with a magician. Contemptuous of the hoary shuck and jive of most magic shows, they insult the audience, do nasty things onstage, and densify their show to the point where some of the most impressive stuff is contrapuntal to the main action; dismayed at how simple most magic tricks are, they share their dismay by letting the audience in on the secrets. Their show is funny, challenging, and fast, and probably as much fun to see in Navy Pier's brand-new 1,500-seat Skyline Stage as anyplace. Their current offering is called "The 37 Percent New Show," which is meant to be taken literally; among the new stuff is "dangerous juggling," Teller shearing a bunny in a wood chipper, and a big finale. Saturday, May 28, 8 and 11 PM. Navy Pier Skyline Stage, 600 E. Grand (at Lake Michigan), 559-1212. $20-$40.