Starting with "pen":
* penknife
* penmanship
* penfriend
* penholder
* pentagon
* penthouse
* penumbra
* penultimate
* penurious
Ending with "pen":
* ballpen
* fountain pen
* gel pen
* ink pen
* stylus pen
* biro pen
Other compound words:
* peppermint
* wooden-penned (archaic)
* pen-pushing (informal, refers to boring office work)
* pen-name (pseudonym)
There are probably many more depending on what you consider a "compound word". Let me know if you'd like me to explore more possibilities!