Most penalty kicks result in a goal; this is why soccer players go to such comical lengths to draw a penalty. The distance between the ball and the goal is so short that goaltenders don't have time to react; they have to commit to a strategy as the ball is being kicked. The usual strategy is to try and guess where the ball will be kicked and to jump in that direction. Surprisingly enough, the tactic of not jumping - that is, guessing that the ball will be kicked down the middle - is under-utilised.
An interesting study from a group of Israeli researchers (Bar-Eli et al, 2007) offers a plausible explanation: 'action bias'.