How expensive is the most expensive penny?

The 1943 penny. Only 40 are known in existence. The price for these pennies can go over 5 million and probably more.

Update and correction

The above answer refers to a group of 1943 BRONZE American cents minted by accident. Over a billion STEEL cents were minted that year and these are only worth a quarter to a dollar depending on condition.

The most expensive 1943 bronze cents are those struck at Denver. These are the champions among all US cents with a retail value just under $2 million (rather than 5) for a top quality specimen as of 09/2011/