The 1st law of thermodynamics states that energy can be in many different forms, but cannot be created or destroyed.

But in einstein's equation E=mc^2, you can convert something as little as a penny into enormous amounts of energy. Wouldn't that be "creating" energy? Or is the energy already there, but in different form like the law says?

This is a very good question. Einsteins equation is so famous because it makes the link between matter and energy. So essentially it states that matter is a massive amount of energy only compressed into an atom. In the equation M=mass, c=speed of light. The speed of light is 3.00x10^8 or 300,000,000 meters per SECOND. This helps illustrate why atomic bombs are so huge. Atom bombs are basically the chain reaction of atoms being blown up. Once one goes it splits into pieces and causes the chain reaction to keep going. Energy is not created it just changes from matter to a huge amount of energy in the form of heat, etc.