Pena frequently refers to "sorrow" or "grief," as you may have discovered when listening to the melancholic lyrics of Frente a Frente by Enrique Bunbury:
Y así ahogar las penas
And like that drown our sorrows
Caption 15, Bunbury - Frente a frentePlay Caption
Pena also can refer to "shame" or "pity," as used by Spanish soccer star Iker Casillas when discussing catastrophes, such as the earthquake in Haiti.
La... la pena es que siempre suceden en... en los sitios más desfavorecidos.
The... the shame is that they always go on in... in the most disadvantaged places.
Caption 27, Iker Casillas - apoya el trabajo de PlanPlay Caption
It’s no surprise, then, that the common expression ¡Qué pena! is used to express "What a shame!" or "What a pity!"
Pena is often preceded by a form of the verb dar (to give), giving us the expression "dar pena." It can be used to express sorrow or sadness.
Me da pena verlos sufrir así.
It makes me sad to see them suffer like that.
In much of Latin America, dar pena is also commonly used to express a sense of feeling ashamed or embarrassed. We hear this in the worldwide hit Fuego from Colombia’s Bomba Estéreo.
Vamos hasta abajo, a mí no me da pena
Let's get down, I don't feel ashamed
Caption 25, Bomba Estéreo - FuegoPlay Caption
Along the same lines, many Latin Americans also use dar pena to express feeling shy. When we visit Fonda Mi Lupita for lunch in Mexico City, the manager, José, tells us why Carmen, the cook, is doing her best to hide from the camera:
Ella se llama Carmen, que le da un poquito de pena.
That's Carmen, who is a little shy. [She feels a little embarrassed.]
Caption 31, Fonda Mi Lupita - EncargadoPlay Caption
Dar, in the case of dar pena, falls into the category of "verbs like gustar." The construction is not parallel with the way we usually express the same sentiment in English; a mí no me da pena literally translates to "[it] does not give me shame." This sounds rather awkward, of course, in English, where "I’m not embarrassed" is the common way to express the same sentiment. (In line with typical "verbs like gustar" construction, our Spanish natives agree that José would have been more grammatically correct if he had said a quien le da un poquito de pena.)
Pena can also commonly refer to "punishment," so it’s not unusual to see it used in phrases like con la pena de muerte (under the punishment of death) or la pena máxima permitida por la ley (the maximum punishment permitted by law).
Vale la pena ("it’s worth it") to keep an eye out for these and other interesting uses of the word pena!