It's a saying (I think, I got it from Doctor Who). You say that the penny is in the air while someone is thinking about a problem (like trying to figure out a pun) and then when they go "Oh!" or similar, solving it, you say that the penny drops. I guess it has something to do with machines where you put a coin in to make it work, and have to wait until it falls down to use said machine. But since English isn't my native language, sayings in English isn't my strongest subjects :)
This one didn't make me laugh, either. Alright, folks. You can stop posting them now.