I always try to use something appropriate for the setting I'm running.
Deadlands uses poker chips.
I thought people might become a little concerned or upset if I brought ammunition to use as bennies for Weird Wars.

Shell casings next time?
Glass beads for fish tanks/aquariums for fantasy settings, reminiscent of "fate stones" from WHFRPG. You might check out "Hobby Lobby" or similar store. I recall seeing replica golden coins (roman style) at one of those stores as well.
A few guidelines for use:
1. Player(s) pulls off gutsy, cool, or well received (by other players) action. (ex: at Game Day, major success in tough battle in ritual chamber, Pvt Cheatwood's double crit, etc)
2. Player(s) comes up with idea to deal with situation that is better than yours or throws you off track (in a good way, not someone wrecking the game).
3. Player(s) roleplays scene well, advances the story/plot without DM/GM prompting (LT calls HQ to report and get orders), figures out mystery or secret.
4. Anything else you think a player deserves one.
I usually limit the use of bennies to re-rolls, reduction of damage from an attack, or the sudden recovery of injury. Also, I let the major villains and some villains' lieutenants have bennies too! That recurring villain thing y'know...