When I'm controlling the goalie I do two things.

1) If the skater is coming straight at me, I skate out with my goalie and then I pull R1 and the RS up, making a desperation save. If timed right, you will stop any deke (but it's dangerous if the skater is taking a high shot or is moving from side to side). I often start with this move, since many players get confused by this move and thus will take a shot the next time (and then I will use tactic number 2).

2) This is safe way and easiest control wise (especially when the skater takes a shot). The only thing you have to do is to move the goalie with the left stick. Try to follow the player with little movements with the left stick. If the player is on the right side, move a little to the right (you don't have to move much) and if he moves to the left you move a little to the left. You don't have to move the RS at all, you'll stop most shots if positioned right. If the skater gets very close, he will have a hard time getting a high shot through, and therefore you might want to go into butterfly mode to stop low shots on your sides and five hole.

When you're the one taking the penalty shot, what I do is I watch the goalie when I start to skate towards goal. If the goalie doesn't seem to know what he's doing, moving from side to side I just try to wait until he leaves one of the posts and then I aim towards that side.

If he does what I did in example 2) you need to move in close on one side, deke over to that side, and then quickly move the puck over to the other side before taking the shot. If you move a lot from side to side, you will make it harder for him to follow your moves.

If you see the goalie skate out towards you like I did in example 1), quickly start skating to the side as the goalie will have no chance following your side movement which should result in him leaving the goal wide open for you to exploit.