We got the advantage a few years back at Fulham. Smith was hacked down in the area, and the ball fell to Milner, who scruffed a half decent chance. The ref then gave the pen, and Barton put it away.
Only incident I can remember is the 2006 CL final. Not a penalty but Lehmann brings down Eto'o outside of the box, Giuly rolls the ball into the net but the ref brings it back for a free kick and sends Lehmann off.