The prison regime was often harsh, sometimes including severe physical punishment, so even if prisoners were not sentenced for the rest of their natural lives, many died from hunger, disease, medical neglect, excessive labour, or during an escape attempt.
In the penal colony system, prisoners were sent far away to prevent escape and to discourage returning after their sentence expired. Penal Colonies were often located in frontier lands, especially the more inhospitable parts, where their unpaid labour could benefit the metropoles before immigration labor became available, or even afterwards where they are much cheaper; in fact sometimes people (especially the poor, following a similar social logic as could see them domestically 'employed' in a poorhouse) were sentenced for trivial or dubious offenses to generate cheap labor.
British Empire
The British used North America as a penal colony both in the usual sense and through the system of indentured servitude. Most notably, the Province of Georgia was originally designed as a penal colony. Convicts would be transported by private sector merchants and auctioned off to plantation owners upon arrival in the colonies. It is generously estimated that some 50,000 British convicts were sent to colonial America, representing perhaps one-quarter of all British emigrants during the eighteenth century.citation needed
Both Imperial Russia and the Soviet Union used Siberia as a penal colony for criminals and dissidents. Though geographically contiguous with heartland Russia, Siberia provided both remoteness and a harsh climate. In 1857, a penal colony was established on the island of Sakhalin. The Gulag and its tsarist predecessor, the katorga system, provided slave-type penal labor to develop forestry, logging and mining industries, construction enterprises, as well as highways and railroads across Siberia.
The Netherlands had a penal colony since the late 1800s. A town called Veenhuizen, originally set up to "re-educate" vagrants from the large cities in the west like Amsterdam, by a private company; it was taken over by the Department of Justice to be turned into a collection of prison buildings. The town is located in the least populated province of Drenthe in the north of the country, isolated in the middle of a vast area of peat and marshland.
Currently in Mexico, the island of María Madre (in the Marías Islands) is used as a penal colony. With a small population (less than 1200), the colony is governed by a state official who is both the governor of the islands and chief judge. The military command is independent of the government and is exercised by an officer of the Mexican Navy. The other islands are uninhabited.
Tarrafal was a Portuguese penal colony in the Cape Verde Islands, set up by the head of the Portuguese government, Salazar, before WWII (1936) where anti-fascist opponents of this right-wing regime were sent. At least 32 Anarchists, Communists and other opponents of Salazar's regime died in that camp. The camp was closed in 1954 but was re-opened in the 1970s to jail African leaders fighting Portuguese colonialism.
The CoDominium series of Jerry Pournelle showed several planets, such as Tanith, Haven and Sparta, that were used as dumping grounds for criminals and dissidents,
The Doctor Who serial Frontier in Space features a lunar penal colony in the 26th century; a lunar penal colony of the 2002nd century is also mentioned in the episode "Bad Wolf",
In several episodes the TV series Stargate SG-1, whole planets are used as penal colonies, generally by the goa'uld, e.g. Hadante in episode 25 (season 2)
"Hawksbill Station" by Robert Silverberg is a 1970 novel where political prisoners are sent to the pre-Cambrian period via a one-way time travel machine.