Boogiepop Phantom
"Boogiepop Phantom" is a twelve-episode anime television series. The story takes place in an unnamed Japanese city, a month after a pillar of light appeared in the night sky and five years after a string of serial killings. "Boogiepop Phantom" follows an ensemble cast of characters, mostly high school students, who are witnesses to the incident and its consequences. At the time of the series, high school students have started to disappear again and the blame is placed on Boogiepop, an urban legend who is said to be the personification of Death. (more from Wikipedia)
Penny joined Leonard and Sheldon in watching an anime television show which they referred to as "Oshikuru: Demon Samurai". Apparently this was actually "Boogiepop Phantom" (the credits state "Boogiepop Phantom was depicted as Oshikuru: Demon Samurai"). Judging by her expression, Penny didn't care for the show very much (0303).