Their books are thoughtful, respectful, and mostly quite compatible with conservative views, other than the lack of religion. The impression I've gotten from their books has always been, "these sound like nice guys with their heads on straight".
Their shows, on the other hand, are calculated to be as outrageous as possible. Not "offensive", per se, although that's often one of the results, but outrageous in a "I can't believe they did that" sense. Their acts often involve making it look like Teller has died during a misfire of the trick, or has gotten his arm chainsawed off, and so on. Their entertainment niche is being gonzo magicians -- in a world full of suave, tuxedoed magic acts, Penn and Teller have decided to be the ones who set themselves on fire, act like freaks, go for the gross-out, and yell a lot.
Whether or not that's to your taste, my point is that one shouldn't take it too seriously, especially given how reasonable they seem to be off stage. It's like Alice Cooper, who looked/acted like Satan on stage, but has always been a decent guy.
Lots of folks are presuming that P&T were intending to insult their audience's beliefs, or insult Jesus. From all I know of them, I don't think that's the case. They do, however, enjoy "going over the edge" in order to shock, but the intent is more like playing the fools instead of thumbing their noses.
The response from the others is also of note.
To say that their "act" was not intended to insult Jesus Christ or peoples' faith in him must be a conscious lie. How can you say that? If they made themselves look like your mother or someone else dear to you, and did that same shtick, would you still say it was not intended to insult your mother or your feelings toward her?
This kind of disgusting obscenity in the name of "art" or "humor" makes me want to be very very sick. People who think it's funny or harmless are just accessories.
Alice Cooper for years had to keep his love of golf a secret. He said that if it was ever learned that he played golf his career was over and his reputation ruined.