(All recommendations are from Lye Tuck-Po, with help from Geoffrey Benjamin)
Whilst getting ready for your trip, here are some books you can dip into (most are ethnographic, based on fieldwork in or near Penang):
Cameron, John. 1865. Our tropical possessions in Malayan India: being a descriptive account of Singapore, Penang, Province Wellesley, and Malacca; their peoples, products, commerce, and government. London: Smith, Elder and Co.
Carsten, Janet. 1997. The heat of the hearth: the process of kinship in a Malay fishing community. Oxford: Clarendon Press.
DeBernardi, Jean. 2004. Rites of belonging: memory, modernity, and identity in a Malaysian Chinese community. Stanford, CA: Stanford University Press.
DeBernardi, Jean. 2006. The way that lives in the heart: Chinese popular religion and spirit mediums in Penang, Malaysia. Stanford, CA: Stanford University Press.
Goh Beng Lan. 2002. Modern dreams: an inquiry into power, cultural production, and the cityscape in contemporary urban Penang, Malaysia. Ithaca, NY: Southeast Asia Program Publications, Cornell University.
Jenkins, Gwynn. 2008. Contested space: cultural heritage and identity constructions: Conservation strategies within a developing Asian city. Zurich: Lit Verlag GmbH & Co. KG Wien and Berlin: Lit Verlag Dr. w. Hopf.
Khoo Su Nin. 1993. Streets of George Town Penang. Penang: Areca Books.
Nagata, Judith. 1980. Malaysian mosaic: perspectives from a polyethnic society. University of British Columbia Press.
Ong, Aihwa. 1987. Spirits of resistance: factory women in Malaysia. New York: SUNY Press.
Scott, James. 1985. Weapons of the weak: everyday forms of peasant resistance. New Haven: Yale University Press.
Tan Sooi Beng. 1993. Bangsawan: a social and stylistic history of popular Malay opera. South-East Asian Social Science Monographs. Singapore: Oxford University Press.
Yeoh Seng Guan, Loh Wei Leng, Salma Nasution Khoo, and Neil Khor, eds. 2008. Penang and its neighbours. Singapore: Singapore University Press.
From this list, Khoo's Streets of George Town is probably the most useful for a short-term visitor. It's jam-packed full of information about the streets and placenames. A little bit outdated now, but still a fun read. Widely available in Penang bookstores.
Jenkins' urban anthropology of heritage debates in George Town provides valuable insight into the 2008 UNESCO listing and anticipates problems that are still unresolved.
For fiction, especially for first-time visitors to Southeast Asia, an absolute must-read is Amitav Ghosh's The Glass Palace (2000), which weaves fiction with history across practically most countries in the region. At heart, it's about the Indian immigrant experience, especially those parts that almost never enter standard history books. From the memorable opening in Mandalay onwards, it's utterly absorbing—it's the sort of novel that one stops to talk about, years after reading it. Anthropologists, take note: Amitav Ghosh may be better known for his literary gifts, but his beginnings include a D.Phil in Anthropology.
Open on my table right now is Peter Carey's My Life as a Fake (2003), set partially in Penang. It's pulling me along, but without much intensity. The classic set-in-Malaya fiction was Anthony Burgess' Malayan Trilogy (the first novel in the trilogy, Time for a Tiger, came out in 1956), drawn from his experiences as a schoolteacher here during the Emergency period (1948–1960). I've got the iBooks version on my iPad—may take some more years to finish reading it. Funny ha-ha, though, what little I've swiped through so far.