Penny Dreadful is an old term used during the nineteenth century to refer to cheap popular serial literature. Sort of like pulp fiction. It was also called penny blood, penny awful, or penny horrible. It means a story published in weekly parts, with the cost of one (old) penny. The main plot of these stories were typically sensational, focusing on the adventures of detectives, criminals, or supernatural entities.
This is exactly what Penny Dreadful was, and what it payed homage to. So we found some old stuff the series borrowed or was inspired by. And there is A LOT.