Someone else clarify this for Grover if I happen to be wrong, but to my understanding, the Dark Aeons and Penance are only in the PAL version of the game and not NTSC.

Defeat all Dark Aeons to fight Penance. The Dark Aeons can be fought during the last leg of the game, before the final battle with Sin. Valefor is in Besaid. Ifrit is located in Bikanel, where Home used to be before it goes 0wned. Ixion is in the Thunder Plains and needs to be fought twice. Shiva is at the entrance to Macalania Temple. Bahamut is at that place where you fought Yunalesca. Yojimbo is in the cave where you found him, you need to beat him five times. Magus Sisters are at Mushroom Rock Road. Anima is in Mt. Gagazet somewhere, but I don't remember where exactly. After defeating all these aeons, you can fight Penance. It's no joy ride either, the Dark Aeons are hella tough (except Valefor) And the only way I could get through them all was with trusty Zanmato. Overwhelmed by a sense of justice and equality, I decided to take Penance on normally, without Zanmato. I lost twice and I haven't played FFX since.