Penn & Teller (playing themselves) appear on a local New York television show called 'Weekend Live' where they perform one of their famous upside-down gags. Penn & Teller are the so-called "bad boys of magic" where they perform shock and gore illusion tricks for recongition. Teller never talks, while Penn never stops talking.
When the gag is over, Penn jokingly comments to the TV host that he wishes someone were trying to kill him. Teller again shows off another shock gag when he "slices" Penn's throat on the air with a trick knife complete with splirting blood. Carlotta, Penn & Teller's booking agent and manager, watches the show with her ususal frustration at the guys attempts to show off.
Soon after, the two magicians are off to a scheduled show in Atlantic City. At the airport, a religious zealot confronts the aethiest Penn about his comments from the television show the night before and produces a fake gun.
Teller and Carlotta play a prank on Penn while going through security when Teller keeps planting a steel ball in one of Penn's coat pockes which makes him cause a scene with the security guards. Afterwords, Penn gets back at Teller by planting a toy gun on him while at the airport and having him detained by security.
Penn, Teller, and Carlotta arrive in Philadelphia and take a van to Atlantic City where they check into the Trump Hotel and begin their first show that very night, with the final illusion being Teller strapped to a table and being "drilled to death" by overhead power drills.
While having dinner with Carlotta at the hotel's restaurant, she tells Penn about her wealthy Uncle Ernesto who is dying from a tumor. After Penn and Teller expose fraudulent psychic surgery to Uncle Ernesto by performing their "abdomal tumor removal" gag, they are kidnapped the next day while at the beach by a group of angry Filipinos wishing revenge for damaging their reputation. Penn and Teller are taken to a warehouse where Penn tries to stall for time while Teller tries cutting through his restraints. Immediately before being brutally tortured, the situation is revealed to Penn as a birthday prank played by Teller, Carlotta and Uncle Ernesto.
Soon after, while leaving the theater from their nightly performance, someone opens fire on Penn, shooting him in the arm. Teller is accused of hiring an assassin as a joke, but as time goes on it becomes clear that Teller is not part of the joke. Teller chases a man who looks very much like Penn, but the mysterious shooter gets away.
Penn and Teller hide out in a sleazy Atlantic City motel where one day they are visited by certain Officer Celia MacNamara who vows to keep Penn safe from snipers.
Officer MacNamara takes Penn and Teller away from their seedy motel room to hide out on a boat docked at the marina. Penn however sends Teller away to presumably spend some alone time with the female police officer. A dejected Teller wonders around Atlantic City alone. He goes to a theater and watches a collection of the Three Stooges best comic segments. He spots the mysterious stalker who shot Penn earlier and attempts to follow him, but the stalker gets away again. Teller then purchases a gun at a local pawn shop for defense against Teller. While walking under the AC boardwalk, Teller gets mugged by two street gang members, but does not use the gun, instead hoping to find the man stalking Penn.
Teller returns to the boat the next morning where Officer MacNamara announces that a nameless villain, a supposed vehement Penn & Teller fan (David Patrick Kelly) who dresses and acts like Penn, has been arrested. Penn and Teller get to tour his bizarre apartment which has been turned Penn & Teller shrine. Teller innocuously disposes of his gun in a trashcan of the apartment. Shortly after MacNamara departs, Penn is stabbed in the stomach by an assailant on the street. Penn rushes off to hospital where, once Teller is out of sight, he appears perfectly fine. Teller proceeds to pursue the would-be assassin in a peculiar chase scene back to the apartment.
The madman, dressed as Penn, forces Teller to enact a Penn & Teller routine with him, hanging in gravity boots in front of a camera. He then uses duct tape to secure the hapless Teller to the gravity boot rig. Officer MacNamara returns and reveals that she and the assasin have been working together to kill both Penn and Teller. The assassin leaves the apartment to finish off Penn while the dirty police woman stays behind to look after the captive Teller. MacNamara confesses to Teller her contempt of Penn & Teller. The confused Teller is able to grab the gun from the wastebasket and threatens MacNamara with it as the real Penn walks into the apartment. Teller shoots and kills him with one shot.
MacNamara laughs, thinking that it's a new joke. She then reveals herself as Carlotta complete with a fake wig, teeth, and contact lenses. The implications of what have just happened suddenly catch up with them: The whole event of the stalker had been a joke on Teller who turned everything around on the players. Speaking for the first time, Teller immediately thinks they switched the gun for a replica, but then realizes that he just shot his partner. Teller turns the gun on himself. Carlotta, stricken with grief, throws herself out the window.
Upon returning to his apartment and finding everyone dead, the "hired assassin" shoots himself. Two police officers, responding to reports of shots from one of the apartments enter and unable to stand the sight, shoot themselves. Others who come into the apartment and find the carnage shoot themselves. The film ends with a pull-out from the apartment building with a view of Atlantic City, as more gunshots fire in the distance, while the Bee Gees song "I Started a Joke" plays in the background.