It's rare in the NHL to get a penalty shot; perhaps a couple dozen a year are given. The official NHL rule about them says:
A penalty shot is designed to restore a scoring opportunity which was lost as a result of a foul being committed by the offending team, based on the parameters set out in these rules.
The rule goes on to describe how the shot can be taken; particularly interesting is this:
The spin-o-rama type move where the player completes a 360° turn as he approaches the goal, shall be permitted as this involves continuous motion.
Anyway, the Blackhawks' Viktor Stalberg got one last night. As you can see in the highlight video below (about halfway through; these are all the second period highlights), Stalberg's shot hit the right post, then the crossbar, then the left post, like a demented pinball shot. You couldn't do that if you tried, but Stalberg did. It's about as close as you can come to getting a penalty shot goal without, you know, getting one.
If Stalberg had scored here, the entire complexion of the game would have been different, because it would have been tied in the final minute instead of a 3-2 Blackhawks deficit.