Im Sure This Questions Comes Up Alot

1st, be careful calling them pennies, technically they are supposed to be called "cents" and some people don't react well to calling them pennies.

To answer your question, it is going to depend on the cents you want to buy. If you are looking for high end Flying Eagle cents for example, I would not touch ebay with a 10' pole, instead a better place would be a more reputable auction site such as heritage. If you are looking for run of the mill wheaties, then you should look at your options. Do you have a coin store that sells them in bulk for 3-5c each? I would here use ebay as a last resort, and never pay more then the 3-5c for the supposed unsearched rolls they have there. Is it the newer memorial coins you want? In that case the bank will sell rolls to you for 1c per coin and you can look through those to find what you need. You can also post in the buy sell trade section here as you seem to have enough posts. You might not find what you need here, but it can not hurt to ask right?

I hope I have been of help.

There is nothing wrong with calling them pennies.

i edited them out ;)

Only other thing I will add is you could try buying them here! Sometimes the family has them in the buy/sell/trade forum

For one thing probably 290,000,000 people in the USA say PENNIES.
There are massive amounts of movies, songs, stories, TV that all say PENNIES. Oon many rolls from banks it states PENNIES.
It comes up constantly but PENNIES always wins.
Try singing PENNIES from Heaven using CENTS
As to where to buy them. If on line so far some decent web sites already mentioned. However, keep away from H.J.Berk. I know that place way to well. Highly overpriced and lots of cleaned coins. Sone other issues I will not mention.
You best bet always is to see what your buying though. You could try Google and type in Coin stores or coin shows and your state. If you live near the border of a few states, use all of them. If you can make it to a coin show, best place to buy PENNIES. You can get to know dealers, no postage, handling, insurances, etc and you can see the coins you are interested in.
I've had decent results from http://www.vcoins.com/us/search/ and one called Millersmint.
Another great place would be right here on this forum you know. I think there may be a certain quantity of posts required first though. Again, keep away from H.J.Berk though.