While not confirmed...I expect this penny for bee stings to be an urban legend.
http://www.snopes.com/medical/homecure/beesting.asp
And not only that, but money is inherently dirty. Sticking a dirty penny onto an open wound...you're just asking for an infection.
And for those of you who are deathly allergic to bee stings...don't bet your life w/ a stamping of Abe Lincoln. He may not tell a lie, but he will not protect you from a bee sting.