If you need an all-in-one great penetration testing kit, look at Backtrack. If you need a test bed to try out your penetration testing skills, look at Damn Vulnerable Linux. Yes. There actually is something with that snazzy name. It is a small Linux distribution, based on Damn Small Linux, which provides a vulnerable platform for beginning and intermediate security peeps to try their acquired knowledge and skills on.
The following article on Linux.com briefly introduces Damn Vulnerable Linux. Thanks to BBBart for pointing it out.