I am not any sort of Beatles expert at all - remember that the reason for the pages is the piccolo trumpet solo on "Penny Lane" - so you may want to take what I say with a pinch of salt. As far as I know the first two CDs below are all the same version of the song - it's just which CD you get surrounding it that differs.
You can click each album or title to go to its listing at Amazon.co.uk
The red and blue albums were brought out as a sort of historical summary, covering the periods 1962-66 and 1967-70 respectively. Between them, they have most of the really famous Beatles songs, so if you didn't want to collect all the "real" albums then you could do a lot worse then having one or both of these.
The later Blue album is the one for Penny Lane: please click here for the Red album, which is the earlier stuff.
This much more recent CD is a collection of all the no 1 hits. It's probably the cheapest way of getting a collection of popular Beatles songs. Not for purists, I imagine, but OK for the rest of us.
The 3-volume Beatles Anthology contains all sorts of previously unreleased material, alternative takes from sessions etc. I haven't got it, but I have a feeling that the version of Penny Lane on Volume 2 does NOT have the piccolo trumpet solo. So, in a way, it's (probably) outside the scope of this page, but I include it for completeness. If you know for sure about the PL version on there, maybe you'd like to let me know?
The Beatles Shop at Amazon.co.uk contains rather a lot of stuff. Very little of it has much to do with this song but hey. I hope you enjoy it!