I KNOW, she SHOULD HAVE been Bad Horse! It would have been a fantastic ending: Billy heads into the room of the Evil Leauge of Evil, secretly depressed that Penny is dead but putting up a 'muhahaha I am Dr. Horrible!' facade, then we see PENNY (alive and well) at the head of the table, possibly in a costume. She strides up to Billy, kisses him sexily, pulls back, and makes a little evil whinny noise. We end with Billy going "Whuh?"
Joss seriously missed out on a fantastic ending right there.
Awww, thank you for the key!