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I do not want pennies. I've tried telling cashiers I don't want pennies. I always get the pennies.

I once asked a cashier about this; that person told me that the cashier is responsible for the till and that means trouble if they're under or over any amount, so they can't just not give you change.

At some places, they have little jars where the cashier can drop unwanted change, but at most places in the US, if you use cash you just have to accumulate essentially useless ballast.