VMware or Virtual Machine Software is an excellent tool to use for penetration training. 

I went to an ethical hacking course with New Horizons and that is what
they used to train us.  Each student was able to operate three or
more environments (windows 2000, Knoppix STD, and Window XP) and attack
either our own virtual network or the Instructors firewall to
demonstrate the use of Netcat for example.

It was a very cool way to learn.  Years ago I was in a training
course created by Global Knowlegde for basic networking, hardware,
cisco routers and a Microsoft cert.  I recall them bringing a ton
of equipment with them and having trouble getting on and off planes
with it.   With a software solution like VMware they could
have carried much less equipment.

VMware allows you to operate multiple Operating Systems on one
computer.  OS's such as Linux, OSX, and Windows 2003, for example
can be placed on the same system.  VMware gives you the ability to
switch from one system to another with ease.  My only complaint is
that it seems to be incompatible with some software you might try to
install on it.  But it works with the main stuff such as protocol
suites just fine.

Vmware is great check out their free trial.