Which Pennies Are Worth To Keep

I have just started myself.

Anything older then 82 is copper. ( Also keep an eye out for steel ).
Save wheat pennies.

Look for Wide AM on 92
Look for Close AM on 98 99 2000
Woody coins
All d dies, but it seems 1969's go for a lot.

1988 wrong FG on back.
1983 has some copper pennies, but you have to weight them?

2009 has 3 types of backs.

This is what I have off the top of my head I would also like to learn more.

In response both MS2007 and Alan B here is a brief synopsis of what to look for:

Wheat Cents (1958 and before) and sometimes the occasional Indian Head cent

If you want to hoard copper 1982 and before (Not all '82s are copper, you would have to weigh those)

Errors (Mis-aligned dies, off centers, clipped planchets, blank planchets, lamanations) here is a good resource that explains all of these:
Lincoln Cent Resource: http://lincolncentresource.com/Erro..._Errors.html

1998 P, 1999 P, 2000 P Wide "AM" and the 1992 P&D Close "AM" are easy to look for without a loupe (The link above explains what to look for in terms of WAM and CAMS)

If you get a loupe or a USB microscope, varieties are fun and interesting to look for, some examples are: Re-punched mint marks, Over mint marks, Doubled Dies, Transitional varieties, and trail dies. Here are some really good sources that I use that explain these and show what to look for:
VarietyVista: http://www.varietyvista.com/
CopperCoins (I linked the date guide for Lincoln Cents, for your ease): http://www.coppercoins.com/lincoln/date.php
Wexlers: http://doubleddie.com/

That's what comes to mind. Feel free to ask questions or post anything that you find the is "different" and you need help understandings.

Hope I could help,
-CRHer

also the 2009 series was minted in copper in sets, and some people have found copper versions, so weighing them is a good policy.