The star won the award for his portrayal of Harvey Milk in the biopic of the openly gay California politician who was assassinated in November 1978.
Penn said: "Thank you. Thank you. You commie, homo-loving sons-of-guns. I did not expect this, but I, and I want it to be very clear, that I do know how hard I make it to appreciate me often.
"For those who saw the signs of hatred as our cars drove in tonight, I think that it is a good time for those who voted for the ban against gay marriage to sit and reflect and anticipate their great shame and the shame in their grandchildren's eyes if they continue that way of support."
Penn thanked director Gus Van Sant and paid his respect to a country that created "courageous artists".
"This is in great due respect to all the nominees, but courageous artists, who despite a sensitivity that sometimes has brought enormous challenge, Mickey Rourke rises again and he is my brother," he added.
Earlier this month, Rourke said that he hoped Penn would win the best actor award for his part in Milk, despite his own nomination in the same category for The Wrestler.
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