<PAGE>   1
                                                                     EXHIBIT 4.1


                               AMENDMENT NO. 1 TO
                                RIGHTS AGREEMENT


         This Amendment No. 1 to Rights Agreement (this "Amendment") is made
effective as of the 22nd day of December 2000. This Amendment is an amendment to
the Rights Agreement, dated as of February 24, 1999 (the "Rights Agreement"),
between Pennaco Energy, Inc., a Nevada corporation, which has been succeeded to
by merger by Pennaco Energy, Inc., a Delaware corporation, and Harris Trust and
Savings Bank, as rights agent ("Harris Trust"), which has been succeeded to by
Computershare Investor Services, L.L.C., as rights agent (the "Rights Agent").

                                    RECITALS

         WHEREAS, Pennaco Energy, Inc., a Nevada corporation ("Pennaco Nevada"),
originally entered into the Rights Agreement with the Rights Agent on February
24, 1999; and

         WHEREAS, on May 16, 2000 Pennaco Nevada merged with and into Pennaco
Energy, Inc., a Delaware corporation (the "Company") and wholly-owned subsidiary
of Pennaco Nevada, for purposes of effecting a reincorporation of Pennaco Nevada
to Delaware (the "Merger"); and

         WHEREAS, in accordance with Section 2.1 of the Agreement and Plan of
Merger between Pennaco Nevada and the Company relating to the Merger, the
Company, as the survivor of the Merger, succeeded to all rights and obligations
of Pennaco Nevada and the Rights were converted into equivalent Rights with
respect to the Company; and

         WHEREAS, effective July 1, 2000, Computershare Investor Services,
L.L.C., a Delaware limited liability company, succeeded to the stock transfer
business of Harris Trust, as a result of which, pursuant to Section 19 of the
Rights Agreement, it became the Rights Agent for purposes of the Rights
Agreement; and

         WHEREAS, the parties wish to amend the Rights Agreement to the extent
necessary to reflect such succession; and

         WHEREAS, the Company proposes to enter into an Agreement and Plan of
Merger (as it may be amended and supplemented from time to time, the "Merger
Agreement") dated as of December 22, 2000 with Marathon Oil Company, an Ohio
corporation ("Marathon"), and Marathon Oil Acquisition 1, Ltd., a Delaware
corporation ("Sub"), under which, among other things, Sub will commence a tender
offer (the "Offer") for all outstanding shares of the Company's Common Stock (as
defined in the Rights Agreement) on the terms set forth in the Merger Agreement;
and

         WHEREAS, Marathon is a wholly owned subsidiary of USX Corporation, a
Delaware corporation; and

         WHEREAS, the Board of Directors of the Company has determined that the
Offer, the merger of Sub with and into the Company (the "Merger") and the other
transactions


<PAGE>   2
contemplated by the Merger Agreement are fair to and in the best interests of
the Company and its stockholders; and

         WHEREAS, the Board of Directors of the Company has found that it is in
the best interest of the Company and its stockholders, and has deemed it
necessary and desirable, to amend the Rights Agreement pursuant to and in
compliance with Section 27 thereof to exempt the Merger Agreement and the
transactions contemplated thereby, including the Offer and the Merger, from the
application of the Rights Agreement; and


         WHEREAS, pursuant to and in compliance with Section 27 of the Rights
Agreement, the Company and the Rights Agent also wish to amend the Rights
Agreement to correct a provision that may be defective or inconsistent with
other provisions in the Rights Agreement as set forth herein;

         NOW THEREFORE, the parties hereto agree as follows:

         Section 1.   Amendments.

         (a)    Section 1(a) of the Rights Agreement (the definition of
Acquiring Person) is amended by adding to the end thereof the following:

         In addition, notwithstanding the first sentence of this definition,
         none of USX Corporation, a Delaware corporation ("USX"), Marathon Oil
         Company, an Ohio corporation ("Marathon"), Marathon Oil Acquisition 1,
         Ltd., a Delaware corporation ("Sub") or their respective Affiliates and
         Associates, shall be deemed to be an Acquiring Person by reason of any
         beneficial ownership of shares of Common Stock acquired by virtue of
         the execution and delivery of, or pursuant to and in accordance with
         the transactions specifically contemplated by, the Agreement and Plan
         of Merger dated as of December 22, 2000 among the Company, Marathon and
         Sub (as may be amended and supplemented from time to time with the
         approval of the Board of Directors of the Company, the "Merger
         Agreement"), including the acquisition by Sub of shares of Common Stock
         pursuant to the Offer (as defined therein) or the consummation of the
         Merger (as defined therein). Each of the execution, delivery and
         performance by Marathon and Sub of the Merger Agreement, the public
         announcement of the intention of Marathon and Sub to commence the Offer
         in accordance with the Merger Agreement, and the commencement and
         consummation of the Offer in accordance with the Merger Agreement, the
         Merger and the other transactions specifically contemplated by the
         Merger Agreement is referred to herein as an "Exempt Event."

         (b)    Section 1(i) (the definition of Company) is amended to read:
"'Company'means Pennaco Energy, Inc., a Delaware corporation."

         (c)    Section 1(aa) (the definition of Rights Agent) is amended to
read: "'Rights Agent' means Computershare Investors Services, L.L.C., a Delaware
limited liability company."



                                       2
<PAGE>   3

         (d)   Section 1(ah) of the Rights Agreement (the definition of Stock
Acquisition Date) is amended to add the following proviso at the end of such
Section: "; provided, however, that no Exempt Event shall cause or result in a
Stock Acquisition Date."

         (e)   Section 3(a) of the Rights Agreement is amended to add at the
end of such Section the following: "Notwithstanding the foregoing, no Exempt
Event shall cause or result in a Distribution Date."

         (f)   Section 7(a) of the Rights Agreement is amended to add to the
end of such Section the following:

         and (iv) the purchase by Sub of shares of Common Stock pursuant to the
         Offer, provided such purchase is effected in compliance with the terms
         of the Merger Agreement.

         (g)   To correct a provision in Section 7(b) of the Rights Agreement
so as to make that Section consistent with the remainder of the Rights
Agreement, the portion of Section 7(b) that reads "The Purchase Price for each
whole share of Common Stock . . ." is amended to read "The Purchase Price for
each one-half share of Common Stock. . . "

         (h)   References in Sections 19 and 21 of the Rights Agreement to the
term "corporation" shall be deemed to include a limited liability company.

         (i)   Section 21 of the Rights Agreement is amended as follows:


               Delete the sentence that begins on page 48 with "Any successor
         Rights Agent . . ." and ends on page 48 with ". . . combined capital
         and surplus of at least $50,000,000." and replace it with:

               Any successor Rights Agent, whether appointed by the Company or
         by such a court, shall be: (a) a corporation, limited liability company
         or trust company (or similar form of entity under the laws of any state
         of the United States or a foreign jurisdiction) authorized to conduct
         business under the laws of the United States or any state of the United
         States, which is authorized under such laws to exercise corporate
         trust, fiduciary or stockholder services powers and is subject to
         supervision or examination by a federal or state authority and which
         has at the time of its appointment as Rights Agent a combined capital
         and surplus of at least $10,000,000; or (b) an Affiliate controlled by
         a corporation, limited liability company or entity described in clause
         (a) of this sentence.

         (j)   Section 26 of the Rights Agreement is amended to replace the
address of the Rights Agent therein with the following:

               Computershare Investor Services, LLC
               Two North LaSalle Street, 3rd Floor
               Chicago, Illinois 60602
               Attention:  Relationship Manager

                                       3
<PAGE>   4

         (k)   Section 29 of the Rights Agreement is amended to add at the end
of such Section the following:

         Notwithstanding the foregoing, nothing in this Agreement shall be
         construed to give any registered holder of a Rights Certificate or
         Common Stock or any other Person any legal or equitable right, remedy
         or claim under this Agreement in connection with any transaction
         contemplated by the Merger Agreement.

         (l)   References throughout the Rights Agreement to Harris Trust as the
former Rights Agent shall be deemed to refer to Computershare Investors
Services, L.L.C. as successor Rights Agent.

         Section 2.   Remainder of Agreement Not Affected. Except set forth in
Section 1 hereof, the terms and provisions of the Rights Agreement remain in
full force and effect and are hereby ratified and confirmed.

         Section 3.   Authority. Each party represents that such party has full
power and authority to enter into this Amendment, and that this Amendment
constitutes a legal, valid and binding obligation of such party, enforceable
against such party in accordance with its terms.

         Section 4.   Counterparts. This Amendment may be executed in one or
more counterparts, each of which shall be deemed to be an original, but all of
which shall constitute one and the same agreement.




                                       4
<PAGE>   5



         IN WITNESS WHEREOF, the parties hereto have caused this Agreement to be
duly executed and attested, all as of the day and year first above written.



Attest:                                   PENNACO ENERGY, INC.


By: /s/ Bryan G. Hassler                  By: /s/ Glen C. Warren, Jr.
    -------------------------------           ------------------------------
Name:  Bryan G. Hassler                   Name:  Glen C. Warren, Jr.
Title: Vice President - Marketing &       Title: CFO & EVP
       Transportation



Attest:                                   HARRIS TRUST AND SAVINGS BANK,
                                          as former Rights Agent


By: /s/ Geraldine Janiec                  By: /s/ Martin J. McHale, Jr.
    -----------------------------------       ---------------------------------
Name:  Geraldine Janiec                   Name:  Martin J. McHale, Jr.
Title: Notary Public                      Title: VP



Attest:                                   COMPUTERSHARE INVESTOR
                                          SERVICES, L.L.C., as Rights Agent


By: /s/ Thomas J. Blatchford              By: /s/ Tod C. Shafer
    ----------------------------------        ----------------------------------
Name:  Thomas J. Blatchford               Name:  Tod C. Shafer
Title: Notary Public                      Title: Client Services Manager













                                       5