Helen--she is actually the reason that Odysseus is originally separated from his wife and home. A married woman, Helen supposedly chooses Paris over her husband, and the Trojan War begins. Odysseus dutifully leaves home for Troy and fights in the Trojan War, a war that would have never begun if not for Helen (according to the epic poem).
Athena--the goddess of wisdom and war, Athena is Odysseus's goddess. She is similar to a patron saint would be for Catholics. She watches over him, helps in times of needs, and sometimes directs him back to the right route.
Penelope--the faithful wife of Odysseus who waits over 20 years for her husband's return. Her memory gives Odysseus the strength to continue even when he has lost everything and everyone on his journey.
If you are just talking about what they actually do in the play (as opposed to what they stand for or more abstract things like that) here are the answers:
- Helen, of course, was the cause of the Trojan War. Odysseus is lost on the way home from that war, so Helen plays a part in that way. Also, Helen realizes that Telemachus is Odysseus's son and that allows her husband to tell him that Odysseus is still alive.
- Athena guides Odysseus in his wanderings. She takes his side and helps him get back to Ithaca. Once there, she helps him kill all the suitors.
- Penelope is Odysseus's wife. She fends off the suitors until Odysseus can make it back home.