The all time best for my money has been the 12oz Heineken Keg Can. If cut correctly, the parts are much easier to slide together securely. Unfortunately, these cans can be pretty difficult to get a hold of these days, as mostly regular straight sided cans are distributed now. If you can get them, instructions here.
The second best I've experienced, while not a penny stove (still alcohol burning) is the style made from a cheap aluminum water bottle, much easier to work with than flimsy soda cans.
While not a traditional penny stove, I built Tetkoba's Capillary Hoop Stove out of 3 cans of Red Bull like he did. It took a lot of force to push the hoop inside the main body, but it never split. It's quite sturdy fully assembled, so the Red Bull cans get my approval.
