They range in price from about $0.05 each to $1.00 or so. The mintmark also plays a role in value, with the S being the most valuable. That's the retail price though - you could take them all to a coin dealer, who would probably pay you 1/4 to 1/2 that amount. You would probably do better selling them one or two at a time on eBay. Sets from all three mints (Philadelphia - no mint mark, Denver - D mintmark, San Francisco - S mintmark) look like they do better. steel penny set | eBay
They're very difficult to find in circulation - I've searched thousands of rolls over the years and have only found two or three. They're not really rare though - coin dealers have thousands of them in nearly perfect condition.
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