This is one of my favorite questions because modern readers get very upset with Odysseus for his extra-marital activities with Circe and Calypso.
Just for the record, I would point out that in the case of both Circe and Calypso, they are both goddesses and could well have killed Odysseus if he had rejected them. In the case of Circe, we should note that Hermes, also a god, essentially commands Odysseus to sleep with Circe: "...don’t refuse the goddess’ favours, if you want her to free your men, and care for you too" (A.S. Kline translation).
As for Calypso, even the gods recognize that Odysseus is a prisoner on her island: "He suffers misery in the island home of the nymph Calypso, who keeps him captive there."
So, in the case of Circe and Calypso, a god commands him to sleep with the former and he is a prisoner of the latter.
Does Penelope know about either of these women? Indeed, she does and Odysseus himself tells her. At Odyssey 23.300-372, Odysseus provides Penelope with a summary of his adventures. He tells her about Circe and Calypso, and even goes into fairly extensive detail about Calypso's sexual desire for him.
Homer precedes Odysseus' summary of his adventures with the following comment about Penelope's reaction to her husband's words "and she loved to hear it all". I think this is my favorite phrase in the entire epic.