Penn's issue is that they subtly print Bible references in their materials, such as on the bottom of the cups or the fries. Now, I'm one of the first people to decry the blind faith in the Bible; in fact, I highly recommend David Plotz's Good Book for a refreshing perspective on the Bible from a layperson's perspective. Penn, being a devout atheist, obviously has major issues with In-N-Out's evangelism, as he often does with most attempts for folks to blend religion in with secular activities.
However, Penn is also a massive proponent of the free market. Combining these two, you get a refreshingly intelligent response to this: don't eat there. That's it. No ranting or decrying, just an individual decision to express his beliefs by not supporting those he disagrees with, plain and simple. In this day and age, where the United States Congress can spend your money on rebuking a member of their body for expressing his First Amendment right in a nation founded by rebellious patriots, seeing a man vote with his principles and not working in a backhanded condemnation to those who don't agree with him is about time.
Sad that seeing someone who is vocal about his convictions stick by them impresses me. Says a lot about those who claim to (Glenn Beck, Keith Olbermann, Bill O'Reilly), but when pressed often some up short.