Different things are happening there. Your first example is actually not correct in Spanish as written, as it's not, I think, in English; there should be a comma in there, because there are two propositions:
Es loco, lo sé. = "It's crazy, I know."
The Spanish equivalent of "(...), I know" is not the literal translation. Lo sé properly means "I know it", where "it" refers to the fact that you've stated just before that. You can also add ya and either leave the pronoun or drop it (ya lo sé or ya sé = "I already know"). You cannot under any circumstances say just sé "I know" in a phrase like that.
On to the second sentence:
Eso lo supe en la Universidad. = "That I knew at University."
There you have a different case. Following the usual word order in Spanish (subject - verb - object) you would say (Yo) supe eso en la Universidad. Note there's no pronoun lo there. But that's not what you're saying here. You're moving the direct object (eso) to the front in order to make it the topic of the sentence. When that happens in a sentence like this, it's as if you have left the direct object slot empty, and since it has to be filled, we use the pronoun (in this case, lo). In way what you're saying is equivalent to
En cuanto a eso, lo supe en la Universidad. = "As for that, I knew it at University."
Some examples of this latter kind:
- El árbol lo talaron ayer. = "The tree, they felled it yesterday."
- La nueva mesa me la enviarán mañana. = "The new table, they will send it to me tomorrow."
- A los perros los vacunamos cuando cumplen un mes. = "The dogs, we vaccine them when they turn one month old."
- Tu asunto lo veré más tarde. = "Your thing, I'll see about it later."
The pronoun is compulsory in all these cases. In English you can say things like "The table they will send tomorrow" or "Your problem I'll attend to later", but not in Spanish. Note also how in English these ideas would be more commonly conveyed using the passive voice ("The tree was felled yesterday"), which in fact achieves the same thing (turning the object into a subject and moving it to the front, which makes it the topic). The passive voice is not nearly as common in Spanish, least of all spoken Spanish.