Recently, a friend informed me that something I created for NC State's Statistical Learning Group
comes up on a google search for "glmnet tutorial". In fall 2014, I gave an introduction to penalized regression, focusing on LASSO, Ridge, and Elastic Net.
The link that comes up is a tutorial on how to use R's well known
glmnet package. Besides giving examples of how to use glmnet, it runs through a three simulations where there is a clear winner between the three competitors.
Here is the glmnet tutorial