I felt exactly the same about this, on 2010 I hated the penalties as whenever I tried to choose a direction it flew as far wide as possible.
However, last night, again on 2010 I decided to have a few attempts on training to see if it was really that hard or if it was just me not getting it right.
I found a way of scoring almost every time, unless the keeper saved it that is. All I did was, using the very tip of my thumb as it's not as soft as the part with the fingerprint on making it easier to gauge the length of time I pressed the button.
Dont touch anything else, just hit the button firmly, imaging a punch with a boxing glove on, the length of time your hand would be in contact with a chin, thats how long to press it for.
Now, as your taker gets halfway between the start point and the ball, hit top-right on the analogue stick.
This, for me, always hits it into the left hand side of the net, bearing in mind that on training you are playing from left to right. Once you have the hang of this, experiment with direction but keep the shoot button method the same.
I found this after getting stressed with it, I got to the point of swearing each time I shot. The word ''Cunt'' is perfect for gauging the length of time needed to hit the button.