We've been to Katakolon a few times with Costa. The town is OK, but nothing special. We prefer to do tours independently and on the last visit we rented a car from Katakolon and rove the approx. 20 km to Olympia. It was very easy to do and the price (sorry can't remember it exactly) was very reasonable. We were a group of 4 and the price, including entrance fees in Olympia) was a fraction of what we would have paid with the ship's tour.
You walk towards the town and as you get close the the main street, there are cars with signs saying that they are available to rent. In an office to the left you can book a car. They speak English and are very friendly and helpful.
The drive to Olympia is easy (they will give youa simple map)and Olympia is very much worth visiting (see the Olympic site and the museum).