That's an EXTREMELY broad question because pennies have been struck for over a millennium. There are thousands of different types available.
One of the most spectacularly valuable ones was the single proof-quality Penny struck in 1933. Because it's the only one of its kind it's extremely difficult to assign a value to it but it would be probably worth well into the millions of pounds.
Of the 1933 Pennies, there was an unknown number minted. Seven are known to exist. Two are in museums, three in private collections, one under a foundation stone at the University of London building, and one stolen from the foundation stone of the Church of St. Cross, whereabouts not known.
Check the site linked below for more information.