I think Sean Penn is a great actor, but I personally think he didn't deserve the win either years he took home the trophy. I would have given Johnny Depp the Oscar in 2003, and Mickey Rourke in 2008. But if I had to choose just one, I would go with Mickey Rourke.
With that in mind, I do believe Penn should have an Oscar on his mantle, but for Dead Man Walking (1995), not Mystic River or Milk.
FOR YOUR CONSIDERATION
Supporting Actor in a Drama Series JONATHAN BANKS BETTER CALL SAUL
I'm gonna have to say nobody here. I really like Bill Murray. Who doesn't, right? But I can't honestly say his performance in LIT was better than Penn's in MR. It was close, but not close enough. I sure do hope Murray gets an Oscar someday! As for 2008, Penn was far-and-away the Best Actor for MILK!
At the time, I supported Sean Penn's win for Mystic River and also felt that there was a chance he wouldn't be back in contention again....but then as the next few years rolled on, I went back to revisit Mystic River and found it to be overwrought and it didn't hold up for me. Frankly, I think Penn should've been nominated for 21 GRAMS that year.
I voted for Bill Murray, who gave such a sweet subtle performance that was remarkably believable considering he is usually known for playing brash and more snide characters....plus, it helps that Lost in Translation holds up strongly and it is also a great opportunity to recognize him for a great performance along with it being almost like a veteran award. Ben Kingsley was also quite good that year, as was Johnny Depp.
As for 2008, Mickey Rourke was nipping at his heels but he deserved it for MILK, which is still my favorite performance of his. The compassion in his performance was lovely and I also adored the film.
Going back to 1995, Sean Penn would be an extremely close second to Nicholas Cage for my vote (I haven't seen either film in some time though) and then 2001, he was not in the same league as Tom Wilkinson.