Penn & Teller's entire schtick is to encourage viewers to look beyond what's being presented to them and to have a healthy skepticism. Kids, with their tendency to believe anything they're told, are the perfect audience for such a message.
Some tricks involve a showy threat of violence: stabbings, gunshots, being sawed in half. Other illusions involve fake injuries such as a through-the-hand stabbing during a card trick, with dripping blood.
Actual working magicians are featured on the show; the logos, signs, and attractions of various Las Vegas casinos are flashed on-screen.