Set in a cartoonish diocese where the nuns and priests engage in constant warfare, Scot Augustson's late-night series Penguins comes on like a hard-boiled crime thriller, with gangster priests, gun-toting nuns, and a bottomless well of depravity. The uniformly inspired cast is directed by Bret Fetzer, who keeps things fast, sharp, and shockingly funny. (Annex Theatre, 1100 E Pike St, www.brownpapertickets.com. 11 pm, $10.)