I have often thought about this, especially in penalty shoot outs where there are 4 people who aren't the "best" penalty taker that have to take one.

As has been mentioned there are penalties that are just unsaveable and against an elite penalty taker maybe a goalie is better off just picking a side and taking a chance against them but against the rest of the takers I'd be thinking eliminate the chance they get a freebie by diving too early or just picking a side and force them to score the hardest penalty possible