MLS: Penalty shootout records by team
EDIT: Oops. I did forget one, and it means that the Galaxy did lose a penalty shootout. It was the 1999 Champions Cup "play-in" game, against Necaxa, after a 1-1 draw.
There has only been one MLS game that ended in penalties, last year's DC-NE classic in the playoffs. But there have been plenty of Open Cup games and a few Champions Cup games that have ended that way. The Galaxy are the team with the best record. All three games were in 2001, where they advanced in the Champions Cup twice on penalties before winning the final, and also advanced over San Jose in the Open Cup quarterfinals, en route to winning that tournament as well.
New England lost both shootouts last year, and Colorado is the only original team not to be involved in one. If I have any of these figures wrong, please let me know.