A Penny Loaf was a common size loaf of bread in England set down by the Assize of Bread Act in 1226. The actual cost and weight of the bread, however, would vary based on the flour that had been used.
In 1644 during the English Civil War, in Newark, Nottingham, a man named Hercules Clay had a dream on the 9th of March that his house would be burnt down. He had the same dream the next night, and again on the following night, the 11th of March. The final dream truly terrified him, and he evacuated his family. His house was indeed burnt down, hit by stray bombing from Roundhead (Parliamentarian) forces who were besieging the town.
In gratitude for the warning that he had been provided, he created a fund of £100 in order to provide Penny Loaves of bread, boots and shoes for the poor each year on the 11th of March. The catch was that they had to listen to a sermon first. At one time in the 1800s, up to 3,000 Penny Loaves of bread were handed out. The fund has since gone. The sermon, though, is still delivered in Newark on or about the 11th of March.
The ceremony has since been revived somewhat, and is evolving. For more information, see here.
There was also a belief in Nottingham that you could find the body of a drowned man by putting Quicksilver into a loaf of Penny Bread and throwing the loaf into the water.