The sweeping adventure film beat out four other nominees for the juried prize: "Great World of Sound," "I'm Not There," "Margot at the Wedding" and "The Namesake."
Penn's film, an adaptation of the book by Jon Krakauer, tells the true-life tale of Christopher McCandless (played by Emile Hirsch), a middle-class college graduate who traveled alone deep into the Alaskan wilderness.
The award for best documentary went to "Sicko," the most recent film from veteran provocateur Michael Moore. The film was also recently named to the shortlist for the feature documentary category at the Academy Awards, and will likely keep its director busy working the awards circuit for the next few months.
Ellen Page, star of "Juno," won the award for breakthrough actor, while Craig Zobel won breakthrough director for "Great World of Sound."
The best ensemble cast award was a tie, going to both "Before the Devil Knows You're Dead" and "Talk to Me."
The cast of "Devil" includes Albert Finney, Rosemary Harris, Ethan Hawke, Philip Seymour Hoffman, Brian F. O'Byrne, Amy Ryan, Michael Shannon and Marisa Tomei. "Talk To Me" features Cedric the Entertainer, Don Cheadle, Chiwetel Ejiofor, Mike Epps, Vondie Curtis Hall, Taraji P. Henson and Martin Sheen.
The award for best film not playing in a theater near you, given to a film that has not yet secured theatrical distribution, went to "Frownland," written and directed by Ronald Bronstein.
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Held for the first time at Brooklyn's Steiner Studios, the ceremony was hosted by actress and playwright Sarah Jones. The evening included six tributes presented to Javier Bardem, Michael Bloomberg, Roger Ebert, Mark Friedberg, Jonathan Sehring and Mira Nair.
It wouldn't be a year at the Gotham Awards without some amount of confusion and controversy. Though the Gothams have no official requirements in this regard a film need not have any ties to New York itself to win if ever there was a nominee that seemed designed for an award named after the city's legendary nickname, it would seem to be "I'm Not There."
Directed and co-written by former New York resident Todd Haynes, the film revolves around Bob Dylan, whose legacy is intertwined with the city's famed Greenwich Village, and it was produced by longtime fixture of the New York film scene Christine Vachon and Killer Films.
Fellow nominee "Margot at the Wedding" also has strong ties to New York City itself -- the title character (Nicole Kidman) is a player on the New York literary scene and writer-director Noah Baumbach and his wife Jennifer Jason Leigh (who also stars in the movie) call it home. "Into the Wild," on the other hand, was written and directed by California-born, Oscar-anointed Penn, and takes place almost entirely in the Western United States and Alaska.
The film was perceived by some as slipping in recent weeks in its hopes for a prize come Oscar time, so the Gotham award for best feature has to be seen as a shot in the arm for its chances within the bigger awards frame.