From what year should a penny be worth more than 500 dollars?

I assume you're referring to a U.S. cent and not a British penny, since the terms are often confused.

The value of any coin depends on its date, condition, and mint mark just for starters. There are a lot of other more subtle variations but those are usually the big three. The U.S. has struck cents since 1793 at Philadelphia, Denver, and San Francisco so you have a huge number of possibilities to choose from. As examples, here are links to cent values at Numismedia, just one of many sites providing numismatic price guides. I scanned through them and found many dozens of coins meeting your criterion.

Large cents: http://www.numismedia.com/fmv/prices/lrgcnt/pricesgd.shtml

Flying Eagle: http://www.numismedia.com/fmv/prices/flycnt/pricesgd.shtml

Indian Head: http://www.numismedia.com/fmv/prices/indcnt/pricesgd.shtml

Lincoln: http://www.numismedia.com/fmv/prices/lnccnt/pricesgd.shtml

LincolnsAssuming you are referring to the current Lincoln cent, it would have to be one of the following :

1909-S VDB

1914-D in at least AU grade

1922 NO D in at least VG grade

1955/55 doubled die obverse

These are the 4 main coins that would most likely reach the $500 price tag.