It's definitely an approach that can help point the search engines in the right direction as to what the concept of a page is, though you have to be careful with it. Just like you wouldn't drop 50 links into a single external article, you wouldn't do it on your own site. Also remember that universal page pieces such as header and footer are easily discernible to the engines, so a footer link won't have as much value internally as a link within a unique content piece.
As far as a penalty, if you're not doing this in a spammy way you should be fine. I run a large classified site that by nature has a ton of internal links (like 100k+) because of different geographic regions, sub-regions, etc. and it doesn't have any issues.