Penang is an island in Penang state, Malaysia. Being Malaysia's financial and commercial capital it's very developed, scattered with skyscrapers, there are huge good quality roads everywhere and you basically see no pedestrians. The island is connected with the Malaysian peninsula by a 2x3 lane, 10-12 km long bridge.
Malaysia used to have a big culture of hitching and people are still familiar with the idea. In Penang they appeared particularly helpful, it was very easy to get around by hitching.
Also, almost everybody in Penang speaks a fair English, which makes things really easy.
The city is quite developed, scattered with skyscrapers and surrounded by big highways. It's rather tough to hitch out from the island. Your best bet is to get to central bus station of George Town (basically any bus will take you there from anywhere on the island for 1 to 4 RM (in 2012)). Or just walk there, as you'll probably be staying in George Town anyway.
The bus station is by the sea, and there's a frequent and free ferry out to Butterworth, which is a city on the peninsula. (Note that the ferry is not free the other way around, to the island.) The journey takes about 15 minutes.
In Butterworth again, there is a big bus station just where the ferry drops you, and you can ask the the cashiers at the bus station for a bus which takes you out on the big North-South highway (E1) which goes from Thailand all the way to Singapore.
North towards Thailand
There is a lot of local traffic on the highway near Penang, and people told us the long-distance traffic only goes to Kuala Lumpur, not to Thailand. Our experience was different though, someone going near the Thai border stopped for us in 10 minutes.
-- From the port/mainland you can take bus 601 to Kepala Batas (2.5 hours) and then walk to the toll gate on the other side of the bridge - it was hot and tiring but at the toll gate I got picked up instantly!
South towards Kuala Lumpur, Ipoh
Take the free ferry to Butterworth. If you walk out of the port, you will see a bridge with ramps. You need to go south, which is right when you leave the port. After a few kilometres, there is a toll bridge, from where you can walk to a ramp of the main north-south highway.