It comes as no surprise to learn that half of the creative team behind this bizarre show is Teller. He is the silent illusionist who partnered Penn so successfully on stage and TV.
Their stock in trade might on the face of it seem to have been the creation of illusions that seemed impossible. In fact, the delivery was almost as important as the trickery and it is this professionalism in presentation that makes Play Dead special.
While this evening may not be a play, it is definitively theatrical, thanks to the efforts of Teller's co-writer, Todd Robbins. He also performs, using an ironic deadpan manner that might have been learned from Penn or perhaps Orson Welles.
The man in the white suit's patter is masterly, starting with an introduction threatening his audience with 85 minutes of material that takes death as its central theme and offering them a chance to flee (taken by one scaredy cat) before the doors are bolted.
During this time, the audience is shocked, thrilled and amused in varying measures. To warm us up, a number of often gratuitously bloody scenes are enacted, including the eating of a light bulb and then a live rat. By this stage, our guide's white suit has become red and white.
From there, we move into a series of stories purportedly drawn from history, that portray a number of gruesome murderers or victims.
There is frequent audience involvement, with at least one colleague horribly murdered and another losing his rather stringy guts but living to tell the tale.
To add drama, long sections take place in blackout, with even the exit signs extinguished. Fortuitously, no audience member freaked out despite a good measure of screaming at certain effects, though that must be a risk in the course of such a macabre evening.
The first 75 minutes are engrossing enough but they are really just a build-up to the sensational finale.
During this, the ghosts entirely take over and give everyone in the auditorium the scare of their lives.
Depending on attitude, viewers will leave the theatre mildly unsettled, terrified to turn off the bedside light, amused or dead. Many might wish to come back to what could easily become a cult show for more, although those in the final category are already an intrinsic part of the event.