I agree with Don, "Penetration Testing" is a subset of "Ethical Hacking".
You have hardware hacking, people hacking (social engineering), software hacking (exploit development), web application hacking (web app pen test), network and server hacking (pen test), wireless hacking, etc.
Hacking in general could be legal (ethical) or illegal.
To me, in a nutshell, ethical means that all the parties involved are fully aware of the hack being performed. To me "parties" include owners of the network, servers, application and data. This doesn't mean you warn Microsoft before pen testing a Windows environment, but make sure the owner or the person responsible of this environment understand what you will be doing. This means written permission and all that comes with it (Non disclosure agreement, methodology, rules of engagement, etc).
Alternatively, you work in your own lab.
Just about everything else is illegal, hence not ethical.
Personally, I don't get any pride or glory in hacking my neighbour's wireless access point. But downloading a vulnerable VM image and hack my way into it in my lab is very rewarding (and much, much harder!). The same goes from pen testing a web application and downloading the entire database. It is legal, your client is happy and you are happy. In addition, you can add it to your resume!
OSCP, GPEN, GWAPT, GSEC, CEH, CISSP