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?

The energy is stored in the form of matter, if you see what I mean. You are not creating energy. Even I don't quite understand this, but it seems that matter is 'chemical energy', together with 'potential energy', etc.

Einstein showed that matter and energy are two forms of the same thing. So yes, matter can be turned into energy and vice versa, without violating the 1st law.

So, in the whole universe, energy is never created? Even when stars go supernova, etc. energy is always constant? WOWWW, that's cool

That's the theory! Can it be "proved" that energy is never created nor destroyed? No, but so far no one has ever observed a violation of this "law," at least not with respect to every day events. However, there are some interesting implications in the area of quantum mecahnics - given that the Heisenberg Uncertainy Principal states that there is a certain amount of uncertainty of a particle's momentum, it follows that there is uncertainty in that particle's kinetic energy. And hence it may be that energy is not necessarily constant over extremely short periods.