How can you tell if a 1943 wheat penny is valuable?

If it is attracted to a magnet it is a normal 1943 cent minted out of steel to save copper for the war effort. These retail for 25¢ to a dollar or so, depending on condition.

If it is not attracted to a magnet, you most likely have a counterfeit. Typical counterfeits are made by altering the last digit of a 1940 or 1948 cent. Yes, there were a couple of dozen cents accidentally struck on copper blanks left over from 1942. Genuine copper 1943 cents are worth tens of thousands of dollars, but all known ones have been accounted for.