Penn and Teller have been playing elaborate practical jokes on each other all through the movie. One of the jokes involves Penn convincing Teller that there is a plot against Teller’s life. Teller is frightened enough to get a gun for self defense.
Teller falls into a trap, and is caught by a rope around his ankles. As Teller hangs upside down by the rope, he hears someone coming. He pulls out his gun and shoots, only to find that the person he shot was just Penn in a silly party hat! Teller thinks, at first, that the whole setup was a gag, and actually speaks (something that Teller NEVER does on stage, and hadn’t done at any previous point in the movie)! He says that this is the greatest joke Penn ever pulled, and laughingly tells Penn to get up.
But Penn is really dead- he had no idea that Teller would buy and use a real gun! Realizing that he has unintentionally killed his best friend, a heartbroken Teller shoots himself. And a seemingly endless parade of people who come along and discover the bodies of Penn and Teller are so horrified that they all kill themselves!
Thanks John L!