The first penalty shoot out that England had was against West Germany at Italia 90. England of course lost.
Peter Shilton was the England keeper, who at exactly 6 foot tall is smaller than most keepers. His tactic in that penalty shoot out was to dive after the ball had been struck (rather than the usual method of picking a side). He dove the correct way each time but was nowhere near any of the penalties, all of which were well struck, all in the corners.
Meanwhile the German players had been regularly practising their kicks, just in case any of their matches went to the shoot out (still a rarity in those days). The English players however hadn't really been practicing.
This set the precedent which is always easier to repeat a second time, especially with the media and it's constant reminding of the previous FAILURE (Waddle and Pearce suffered in the red top press creating a venomous fear of failure for all future shoot outs), and the publics celebration of FAILURE (pizza hut?).
Future penalty shoot outs after this were very easy to predict as losses (check out the players body language - compare this to their opponents), where players such as David Batty (who had never taken a penalty in his career before) helped fuel the media's (and that of the public's conscience) self fulfilling prophecies of penalty shoot out defeat.
But why did he (and others that weren't particularly skillful such as Gareth Southgate) take them?
They volunteered, where other players of far superior ball control turned away. They were too worried by failure, driven by the culture nurtured by the media and public. (Batty and Southgate, although good players performed a role within the team, and that role wasn't clinical finishing).
England have won a penalty shoot out, against Spain at Euro 96, which was held in England (incidentally only a dubious refereeing decision kept England in the game). Buoyed by immense jingoism and support, the like of which I've never seen before or since.
Additionally until recently many of the senior management in the F.A. had failed (the archaic Taylor Report springs to mind) to embrace some of the more scientific approaches to football (managers like Arsene Wenger helped change this attitude) and the penalty shootout. See the book SOCCERNOMICS for detailed information. (how an economist would approach a penalty shoot out - and how they successfully predicted where the keeper should dive for the shootout in the Champions League final of Chelsea vs Man Utd).
I can't really comment on other countries relative success or failure in shootouts, and I don't want to mention national stereotypes, but if only everything in life was as reliable as a........