Back in college, my buddies made up beer games with pennies. I think it was like, you had to bounce a penny on the table and into a shot glass. If you make it, you get a drink. If not, you get a drink.... Waitaminute.
That and they were mischievous. They like to snap the penny in their fingers and make it shoot like a projectile. A well-placed hit can sting quite a bit.
Five pennies can substitue for a die (as in singular of dice

). For example, heads can count as 1 where as tails would not count. You would automatically start at 1 of course, and add up the number of heads you have.
If you're really mischievous and peeved, pennies would be the "ideal" form of revenge payment for money owed. Not that I would know though. Honest!
Two or more pennies are fun for a game of spin the top. Ever play that? Each would have a penny, and you hold it upright with one finger, and flick it with a finger in your other hand to make it spin. Whoever's penny stayed up the longest won. My siblings and I use to play that when we were kids.
Pennies are also awesome for its own version of curling. Draw a circle on a smooth surface, flick it from a distance, and whoever can get the most pennies into the circle would win. Heads vs. Tails. Of course, the fun part is you can knock your opponent's pennies out of the circle as well.
I guess some of these aren't applicable because they require more than one pennies eh? For even one penny, there are lots of cool sleight-of-hand magic tricks that one can learn.
I also remember being in an amusment park once, and they had this machine where if you insert a penny, it'll run it through a small machine press that will flatten the penny into an oval, and imprint the amusement park's logo on it. It's pretty neat.
Although it's not ideal, I've used a penny as a bookmarker before. But hey, that still counts as an use!
Did I mention that my college buddies were rather mischievous? They used to freeze a penny and dropped it down the shirt of unsuspecting victims... preferably of the female persuasion... but any made for a good laugh to them.
And finally, our current economic system still uses prices down to the penny. Sooooo.... I just keep most of my coins-- including pennies-- in my wallet, and use them to help pay for things whenever the opportunity arises!