There are a few auctions where double is penalty immediately: 

West	North	East	South
1	1NT	Dbl

West	North	East	South
2	2	Dbl

By agreement: 

Redoubles by responder can start a sequence where doubles will be penalty, but those happen on the 2nd round. Note that auctions like 4-Dbl are not included, because those are NOT penalty doubles. They can be taken out by appropriate hands.