I think everyone needs to take another cocoa break.

Penelo was there to look after Vaan, and because she didn't want to go back to Rabanastre without him, so I'm assuming. Vaan was there to avenge his brother.
On a slightly off-topic note, I wish this game had more dialogue. I loved the characters, but when I borrowed FFX off a friend, I was like, "Wow, they talk a lot. They should have done this in FF12!"