...also known as Sigil Mean Time (SMT)...
Is that the point at which the shop owners get particularly crabby, everybody glares at you in the street, and nobody lets you participate in the game of street football? ...those meanies...
Back on topic, I'm in favor of noting the time difference ("the sun looks like it's slightly lower in the sky as if two hours have passed") but not imposing any penalty unless you think it'll drastically increase the fun quotient of your campaign. Personally I think the realism suggested by a "teleport lag" penalty isn't worth the headache of making up and enforcing rules for such a penalty.
By the way, if I understand it correctly jet lag usually isn't caused by the time spent on the jet. It's caused by the fact that your body's circadian rythm is now conflicting with periods of sunlight. You feel like it's time to go to bed but the sun is still high in the sky, that sort of thing. So in theory it would be entirely possible to experience jet lag with instantaneous transportation.
I recall reading that the NASA scientists working with the Mars landers a few years ago were living on Mars time because the rovers were solar powered (they were only "awake" during the daylight) and the scientists wanted to be awake during the Martian day so they could order the rovers around. Since the Martian day isn't 24 hours long this meant that after some time the scientists would be awake in the middle of the night and sleeping during the day. To combat this they tried to never go outside, because if they went outside when their bodies told them it was day and the sky told them it was night they'd start to experience jet lag-like symptoms.
And back to fantasy worlds, remember that your world doesn't have to be a planet floating in space circling a huge ball of flame. You could rule that the sun always appears to be the same distance above the horizon regardless of where you are in the world, so there'd be no time zones and no jet lag. Fantasy worlds don't have to obey real world science (and, personally, I love it when there are parts of a fantasy world that blatantly ignore real-world science, like Discworld's turtle and elephants).