We consider the problem of preemptively scheduling a set of $n$ jobs on $m$ (identical, uniformly related, or unrelated) parallel machines. The scheduler may reject a subset of the jobs and thereby incur job-dependent penalties for each rejected job, and he must construct a schedule for the remaining jobs so as to optimize the preemptive makespan on the $m$ machines plus the sum of the penalties of the jobs rejected. We provide a complete classification of these scheduling problems with respect to complexity and approximability. Our main results are on the variant with an arbitrary number of unrelated machines. This variant is \apx-hard, and we design a $1.58$-approximation algorithm for it. All other considered variants are weakly \np-hard...