The words in each set have a common connection, something that bonds all three of them in some way.
For example: The connection for "Penny; Zachary; Will" is
TV characters from Lost in Space=1. BELLY; BREAK; BALLET
=2. HERO; SUBMARINE; HAM & CHEESE
=3. CONCENTRATION; PERFECTION; OPERATION
=4. THE COFFEE URN; THE DUMB-WAITER; THE SEVEN DAY CLOCK
=5. A JELLY FISH; A SQUID; A COWARD
=6. THE MOUSE THAT ROARED; DR STRANGELOVE; THE PINK PANTHER
=7. PILE DRIVER; SLEEPER; SUPLEX
=8. A STEER; A WETHER; A GELDING
=9. FISHING; FINISH; DOTTED
=10. ERROL FLYNN; SEAN CONNERY; KEVIN COSTNER