The metal in coins themselves does have value. (Intrinsic value, which is independent of face value). Paper money has no substantial intrinsic value to anyone unless it's a rare or collectible specimen. This is why some folks gather coins - they have both intrinsic and face value and possible future numismatic value (for the rare coins).
"Value" is generally determined by the buyer in a market. A pre-1982, 95% copper penny may seem to have have no value to you or I (other than the 1-cent face value).
However, "value" (as demonstrated by numerous eBay buyers who purchase old pennies) proves that there is indeed value to the penny over and above it's face-value - at least to those buyers. There is currently an active market for 95% copper pennies - people are currently PAYING close to 2x face value for them in bulk, since the melt-value of the copper contained therein is currently around 184% of face-value (1.84 cents). It is (whether we admit or not), a store of value, contained in a small, standard, government-verified unit (the 95% copper penny). Very small value per unit, of course, and perhaps an inefficient store of one's wealth (rather bulky) but to say it has no value in excess of it's face value is a mistake.
The market price for any commodity is whatever the market will bear. Even dirt is valuable to me, if I need it for my garden, or gravel rocks, if I need a load of it to pave my driveway. Each commodity, including the copper trade units we call pennies, has value to someone.
The market price of something is a factor of how much someone is willing to pay for it. Just because you or I don't value something greatly doesn't mean that all others think the same.
Granted, I don't think anyone is planning on "getting rich" by selling copper pennies on EBay or elsewhere, although there's actually several people who have great side-jobs by selling copper pennies on Ebay.