Okay, here's my opinion.
I seriously think it could have been kind of sweet if they actually got together. But realistically Billy/Horrible has created a Penny in his mind that is not the real Penny. She's a goody 2 shoes and still he believes she would have been convinced by giving her the key to Australia? I mean really the guy is infatuated to the point of foolishness. I think it was sweet and tragic and that she should stay dead! It's her death the reason for things to develop, really… his motivation. If she had lived then he wouldn't have achieved anything!
To the idea of some about Dr. Horrible bringing Penny back from the dead, I most say "Yeah, interesting but not so much". If he brings her like she was (goody 2 shoes Penny) then they can't have a serious relationship because they have nothing in common besides yogurt. And if he brings her back evil then she will loose the pureness of the character and the appeal not only to viewers but to Dr. Horrible too. She will not be the Penny he loved. Not even she would like herself! I mean, all she wanted was to be Hope! How can she be Hope if she's evil. And besides this isn't an X-Men/Frankestein satire! She's not the evil bride or the phoenix or whatever! She was sweet and it was sad and we all cried (at least I almost did) and that was it.
So, I believe it was important for her to die and that she should remain so… Although I most be sincere in saying that at the end I couldn't believe she had died and that I thought for a moment that she would be a super too. You know when she said it was alrght, I thought for a second she was going to pull the pieces from herself and prove she was okay. Kind of cool if she had but she didn't.
Clearly I have mix feelings about this. I think it's important that Penny remains dead but it would be nice for her to re-appear. Maybe it could be reveal in the sequel that Penny was working undercover as a spy for either the ELE or whatever is its equivalent in the good guys team. And her name is not Penny and she's a whole different person than either Dr. Horrible or Captain Hammer thought. Maybe she'll even try to kill them both. Now, that mixed up with an evil traitor that kills Bad Horse would be kind of cool. Maybe then they would be a pretty good couple. I mean think about it: Penny completes Billy but this evil minxs completes Dr. Horrible. Both put their feeling aside so they could advance in their career and althought they like each other they may never really and truly be together because it just not who they are even if it is what they want deep down.
So there…