I got lucky at a coin show and bought old copper pennies for a buck a roll, still uncirculated. They make a better "roll" than the zinc pennies. My brother - a fellow coin collector - practically pooped his trou when I handed a stack of 1972-S cents to his sons to press coins at the ballpark.

I also use Hungarian 2-forint coins, which are nickel colored and really bring out the details (shown below). They are the same size as a U.S. penny. I picked up uncirculated rolls when I was in Budapest a few months ago.

I contribute semi-regularly to www.pennycollector.com, which has a list of locations.