We report experimental observation of a full photonic band gap in a two-dimensional Penrose lattice made of dielectric rods. Tightly confined defect modes having high quality factors were observed. Absence of the translational symmetry in Penrose lattice was used to change the defect frequency within the stop band. We also achieved the guiding and bending of electromagnetic waves through a row of missing rods. Propagation of photons along highly localized coupled-cavity modes was experimentally demonstrated and analyzed within the tight-binding approximation.