Hi I am an MS2 at Penn and I was once in your shoes. I was an undergrad at Yale and had many friends in the med school. I basically think that you can't go wrong at either.
I really liked Yale's no-grades policy for the first two years. At Penn, we have p/f for the first semester and then h/p/f for spring of MS1 and fall of MS2. Both schools probably have similar clinical policies (which if you ask anyone, are the only ones that really mean anything). Penn is not competitive, but I think a p/f system for the whole pre-clinical thing would be nice.
Location wise, Penn clearly wins out. Yale is a great great place to be an undergrad, but I think that the city is not fantastic for grad students. Rent is cheap but New Haven honestly doesn't have much to offer. Philadelphia is more of a prototypical city with young people doing all sorts of things- going to grad/prof school, working, etc. There are many more bars, attractions, etc.
Your first year, you will probably live in a dorm at Yale and eat dining hall food. This is nice for meeting your classmates, but honestly, you will see a lot of them no matter what. At Penn, almost everyone finds an apartment off-campus. I do not think that we missed out by not living in a dorm together. I think this is especially true for those who are not coming directly from college and are used to "real life."
You will get an excellent education at either school. Both schools have a good amount of school spirit and a warm and receptive faculty. Both have nice facilities. People from both schools match at very good institutions in the fields that they desire. I think Penn historically has been a bit more specialty driven (more kids going into rads, ophtho, ent, etc.)
Yale requires a thesis, but Penn kind of requires one too. We have a "scholarly pursuit" that must occupy at least 3 months. Most people end up doing some sort of clinical or lab research. One difference is that because we enter clinics a semester earlier, we have more time in our fourth year for this requirement (or for travel, lounging around and doing nothing, etc.)
-Jonathan