Dorothy Dunnett - she wrote two masterful series, the Lymond Chronicles and the House of Nicolo which consist of 6 books and 8 respectively as well as King Hereafter which is a retelling of the Macbeth story. Once you've read her though, she will spoil you as far as all other historical novelists are concerned because she's in a class of her own.
Try Diana Gabaldon. Great fiction with a twist. Or Ken Follett. Pillars of the Earth and World Without End are brilliant. Finally from me the Matthew Shardlake series by C J Sansom are great historical crime fiction. Like you I love Sharon Penman so I hope you find these as enjoyable.