My first choice would have been to make Penny be secretly Bad Horse. That wouldn't mean she'd end up dating Dr. Horrible, or even that Dr. Horrible would win his goal... it would just change the dynamic dramatically.

Penny could have died in a more active way... by doing SOMETHING instead of being a victim of stray [ammunition].

I have more ideas, but they're... scattered. And a lot would depend on or involve a three-way confrontation instead of the two-way confrontation that we actually got.