I've explained this many a time. Murray's performance is so much less noticeable because you never fully realize he's even acting. That's what it's all about. Penn's performance was powerful, don't get me wrong. But Murray's had so much subtlety and was more like how a person of his age would behave. Crying and yelling doesn't make a performance great, necessarily.
EDIT: 500th post! When do I get my little tagline thing?