Using 45 copper pennies (dated 1962-1982 for higher copper content / better sound) that had been pressed upon a railroad track, I drilled holes in each of them, then strung them with fishing line hanging from a piece of driftwood, adding pretty little beads along the way. The result is a dainty chime with a delicate ring when a breeze comes along.
I am not suggesting you should run to the train tracks and start laying pennies. In fact, these pennies were pressed years ago on my way to and from work. I decided they had been sitting around for too long, and put them to use.
To address the concerns that some have about a train derailing because of a penny, please visit Snopes.com
http://www.snopes.com/science/train.asp to dispel the rumor.
No train, no problem, you can actually press your own pennies with a sledgehammer and an anvil. Trust me, if I can do it, you can, too.
Also consider using elongated pennies, the unique, oval pennies that are embossed in a mechanical press. A great way to save those precious mementos of your trip to the zoo, national park, etc.

Although optional, including beads and baubles will work wonders to add personality to your chime. Keep in mind, the more beads you add, the heavier the strands will be, which will require additional wind force to create sound. Crimping beads are a great help, which will eliminate the need for ugly knots in your chime.

Using a piece of driftwood, a stick, a length of bamboo, or any sturdy piece of material to support the pennies, drill holes along the stick. In these holes will hang the fishing line with copper pennies, so be sure to space them close enough to strike one another in a breeze. It is a good idea to protect the chime from outdoor elements by brushing or spraying on a few coats of polyurethane.

Using a steady hand, or a drill press, and a drill bit intended for metal, carefully drill a hole at the top and bottom of each copper penny. Although the pennies hanging on the outside of the chime will not host additional coins below, you can add a pretty bead to the bottom of these pennies with a jump ring.

Once you've drilled holes in the support beam and pennies, you may begin stringing them. Be sure to add a string to the outermost left and right holes in the beam to hang the chime.
I find it is easiest to thread a string with the end above the support beam with a crimp bead, then allow it to hang below. Alternate the coin attachment to keep the chime balanced as you work.

It helps to line the pennies up prior to stringing them, so you have an idea as to how they will hang. Note the way the penny on the top row, #7 for example, will support three additional pennies. #9 will support four more, etc. Look closely at the photo, and you can see the string that shows the way they will line up.

Continue to add pennies in even and odd-numbered holes along the top of the support bar. Each successive row will host fewer pennies than the previous row. Keep going, keep securing the pennies with crimp beads, and before you know it, you'll be finished! Add a jump ring and a pretty bead to the outer-most pennies, and you're set to hang up your new treasure!
Add more pennies, add less, make your chime bigger, smaller. It is entirely up to you. I hope you have enjoyed this tutorial. Thank you for taking the time to view my penny project.

Remember to use pennies with a higher copper content, and not those with zinc and tin, or they will sound tinny and cheap. A few are fine, but for the most part, copper pennies not only clean up better, but sound sweeter. :-) Enjoy!