Adam asked me a question about spell penetration, yesterday, and I was unable to answer it very well.  It so happens that wowinsider had a post about the relative importance of stats for mages.  I'd imagine that most of it applies to shadow priests, as well, with the possible exception of spirit.   From the article:

"Spell Penetration:
This is a stat that reduces your target's spell resistances. It is often confused with hit rating, but they operate on totally different mechanics. Hit rating increases a Mage's chance to hit with spells, whereas this penetration reduces your enemies chance to resist or partially resist your spells. They may sound similar, but really aren't. Hit is far, far more valuable to Mages than spell penetration is, and it isn't even close.

Since it only works on enemies that actually have resistances, spell penetration is generally only valuable at all in PvP, and then only marginally so. It certainly isn't a bad stat to have, and if you're going to do a lot of PvP, you may want to pick up a bit of it. each point of spell penetration negates one point of an opponent's resistance to the type of spell you have hit him with, so you don't generally need much. Quite simply, there are other, better stats out there. A lot of them."