The "penalty" is just something we play for laughs. It adds to our games. Since it's something like an acrobatics check by someone that's good at acrobatics it's usually an impressive display of form and them showing off how awesome they are.
It also doesn't really have much of anything to do with the topic of the thread. On topic, there are plenty of times when people improvise, I just try to figure out how to make it work within the framework of the game. I just don't call it "rule of cool", I call it "following the rules of the book".