To be clear here, although both are much more efficient than incandescent bulbs, both HPS and fluorescent lamps are still both relatively inefficient.
Fluoros will turn about 20% of their inputted energy into light, with about 80% into heat. HPS's are maybe 30% more efficient than fluoros getting maybe 25-28% light per watt.
But the point is if you're running 250 watts of either, you're still generating what amounts to 170-200 watts of waste heat. Not only do fluorescent lamps not run cooler, on a per-lumen basis, they actually run hotter than HPS. Again, CFLs only appear cooler because instead of the heat coming from one 250 watt bulb, you have it spread out over twelve 23 watt bulbs. Although this makes it less likely to burn a plant (or your hand!), the lower light concentration also usually means more node spacing and fluffier buds.
IMO "penetration" is a bunch of hogwash. Two lights that put out comparable lumens in comparable spectra will have similar 'penetration'. The one with more lumens will offer more "penetration". HPS lamps generally offer more "penetration" simply because they're much brighter from a single point source.
The biggest advantages to HPS is that they're more efficient, putting out more lumens per watt, plus the spectrum of light they put out is better suited to growing, meaning that even lumen for lumen, they're still better than fluorescents. So even though HPS setups cost more, over time they'll pay for themselves with increased yield.
The reason why newbies like fluorescents is because the bulbs themselves are dirt cheap, available everywhere, and run out of standard light bulb sockets which are also dirt cheap and available everywhere. So for someone on a limited budget who isn't necessarily very sophisticated about lighting or electronics, its easiest to get started with CFLs. Unlike one big HPS, lots of small CFL bulbs are also easy to scale by increasing or decreasing the number of active bulbs as necessary.