I think that, like DR Elmore, I don't remember too much penny candy, as such, but things like those root beer barrels and the little Coke bottle things and wax candy lips (ew!) were favorites. I instantly thought of candy cigarettes, too, but I don't know if they were penny candies.
The earliest nickel candy bars I remember liking (most candy was five cents then) were 3 Musketeers, which were introduced to my sister and me when my mother brought them home for us from a temporary secretarial day job she had for a while. We had surely had a few other of the big names, but that's a memory that has stuck around. I recall loving Payday, and I've always remembered discovering the original Chunky all by myself at around age nine when we had moved to where it was only a two-block walk to Main St. and there were wonderful things to behold. LifeSavers and chewing gum were always around. But for what seemed like the longest time, everything was a nickel. Another significant candy memory was at my great grandmother's house in Morgantown WV, where there was always a huge glass bowl of Good & Plenty on a buffet or side table in her dining room. That was my first exposure to those, and whether or not I was crazy about them then, I can't say, but upon "rediscovering" them some years later, I was indeed crazy about them and damn it, I could eat a box of those right now.