I definitely remember hearing about how a penny could kill somebody if dropped from a skyscraper. A (slightly) reassuring fact (slightly) reassures me that this is an urban myth:
A penny dropped from the Empire State Building would not kill someone standing below, most likely. The observation deck is 1050 feet high, and the penny would reach a maximum velocity of 57 miles an hour after falling 500 feet. That’s enough to hurt pretty bad, but only a very very lucky (unlucky) shot would kill you. Most importantly of all, there is an updraft. Tossed coins generally land on the setback roof of floor 80.