Select a penny made in 1983 or later. These pennies are actually copper-coated zinc. (Back in 1982, making one penny out of copper became more expensive than the one cent it was worth.)
Place the penny in a bowl--ideally, a bowl that you won't mind losing.
Add enough liquid nitrogen to the bowl to cover the penny. If you are low on liquid nitrogen, gently swirl it around the penny. Don't waste or spill the liquid nitrogen: this ultra-cold liquid boils at −321 °F and will disappear rapidly in room temperature.
Remove the penny from the bowl with either a pair of pliers or tweezers or with a heavily-insulated glove immediately after the liquid nitro has fully dissolved. If you haven't already, don a pair of protective goggles.
Place the penny on a flat surface. Strike the penny with something sharp, like the claw of a hammer. If the penny has sufficiently frozen, it will shatter into several pieces, most likely in many, many directions.