I felt uneasy about Penny's death too but the men Whedon was pointing the finger at don't just make a custom of slaughtering women, they make a virtue of it. Penny's death on the other hand was unequivocably presented as a bad thing precipitating the downfall of both Horrible and Hammer, possibly even the end of Western civilisation as we know it.

Which, getting back the shadowkat's original question, I think one reason women get killed is they're better actors/characters than children and our culture finds it easier to see their deaths as unalloyed tragedies. When a male character dies it tends to feel more like an act of heroism if he's a good guy or retribution if he's not. A woman dying is easier to sell as random and senseless and well, tragic. (I'm not saying this is a good thing).