Most "do it slow and go wide" because the goalies hate when you go super super slow and wide (ya can't do that during regular play).......but with that said.....I was always a fan of just skating fast and unloading a slap-shot, and if goalie comes way out ya fake the slap-shot, deke the goalie and score. It is super rare to see an NHL player just unload a slap-shot on a penalty shot, you almost never see that. But when you do see it, they usually score. Way way way back in the day the great Maple Leaf Rick Vaive would almost always just unload slap-shots on breakaways and penalty shots, and it would almost always work.
For the record (pardon the pun), statistically speaking you have two times a better chance of scoring on a penalty shot if you shoot the puck rather then "deeking he goalie", the goalies nowadays are just so good you can almost never "deke" em.