I've been at Penn for undergrad, and I feel a car would only be necessary if you live way out in the suburbs. If you live relatively close to the school, SEPTA (the public transport system) is ok to go downtown for bars, shows, shopping. If you want to go to shopping in North Philly (where the Target and Costco are), I suggest Philly Car Share: http://www.phillycarshare.org/16/residents/students.php
If you live where SEPTA doesn't run or not in walking distance of the school, then a car may be for you.
Parking kind of sucks around campus and I believe car theft is high in the area (ie. smashed windows to steal your stereo).