Generally, AP is better against tanky teams and MPen is better against squishy teams.

If you are considering MPen, realize that you need to be able to wave clear and burst with their base damage. With Annie and Lux, a high MPen build is pretty good - you can burst squishies unless you fall behind (my favorite is 20mpen from runes, 15 from boots, and 15 from haunting guise if your opponent gets MR from leveling/items) and wave clearing without AP isn't really much different than clearing with AP items/runes.

With Veigar, I wouldn't consider an MPen build since you're trying to get AP from his Q. Getting CDR and AP will help you kill more minions and get more AP.

You should consider AP against higher HP teams since you'll need the extra damage to actually get through their health and when you're playing champions where you need the extra AP to clear waves with 1-2 spells instead of 2-4.

Also, consider that penetration becomes less effective as opponents build more and more armor but it is cheaper.

If you get sorc boots, you should really start roaming to pick up kills.

Abyssal Scepter is a really good item, especially if you can take advantage of its passive. Considering taking it if your fights are going to be really close range - you're comfortable jumping on your opponents or they keep jumping on you.

Here's a estimated graph of how the damage would work.

graph (y=dmg, x=your flat mpen, assuming 6% pen from masteries)

If you have time, plug in real numbers rather using my estimated numbers. (40 is opponent's estimated MR, 600 is estimated magic with AP build/runes/masteries, 500 is estimated magic damage with just AP runes/masteries, 475 is estimated magic damage without AP build/runes/masteries, 0.94 is [1-6%pen])