Some webmasters get an email or a notice in their webmaster tools account, especially when the penalty is for something that might even be accidental.

Other than that, I can't think of any warning signs. Also, appreciate that every drop in ranking is not a true penalty, in Google's terms. Some webmasters are rather casual about using the word penalty for almost any drop in ranking, when in many cases, it could just be a change in the algorithm.

The one time I did get a clear penalty on one of my sites, a couple of years ago, I did see some erratic traffic for a few days before. As if they were rolling out the change in some datacenters, reversing it, and rolling it out again.

Also, the penalty came in two steps. It was something like a loss of 25% for a month or so, then a loss of another 25% for two months, followed by (after numerous changes to make every conceivable aspect of the site squeaky clean) a recovery to previous traffic levels.

Some webmasters get an email

This are very lucky webmasters.

I see only the results.

Matt Cutts. He issues general warnings about future penalty targets. Sometimes, at least, but not always.

For the penalties which he doesn't hint at weeks if not months in advance, he sometimes explains afterwards.

Don't expect too much before/after. It can be very vague, but, hey, it's better than nothing.

Matt Cutts = The Prophet of Doom

(for those who don't listen to him).

p/g