Yep. P&T got their start doing stage magic, and showing the audiences how it was done. Made a lot of their fellow magicians a little unhappy.
Two great videos/movies:
Invisible Thread
http://www.imdb.com/title/tt0137162/
Penn & Teller Get Killed
http://www.imdb.com/title/tt0098073/
There are many others, and they've done a lot of TV appearances separately and together. Bull$#!+ is the show that 'water' clip is from, and they debunk a lot of things.
One of the funniest things about them is the schtick: Teller never speaks. Actually, Teller used to teach high school Latin, and speaks seven languages fluently.