I wanted to provide an update on Penske's policies regarding Burning Man, as much of the information I found online was at least a couple years old.

Penske contracts prohibit taking their trucks off of paved roads; doing so voids the contract. All trucks are equipped with GPS tracking; the company does monitor its trucks' locations during the week of Burning Man. Once a contract is voided by leaving paved roads (ie entering Black Rock City), the company is empowered to reposes trucks at the user's expense. Alternatively, they will impose cleaning fees of $500-$2000 for trucks which are taken to Burning Man.

tl;dr: Penske does not allow you to take their trucks to Black Rock City. They will know if you do, and will either reposes the vehicle FROM Burning Man, or impose steep cleaning fees upon your return. Do not rent from Penske for Burning Man!

EDIT: Okay, okay, ya'll are right that they won't repossess from the burn, my paranoia is showing