I used to have one as a child, a toy one. the most i ever found where a few coins, spanish pesetas. probably less than 5 bucks worth, along with some cheap jewelery. i also had my fair share of bottle tops and scraps.
I am however thinking of buying another one. a modern one for $400 to $600. i hear they can differentiate between scrap metal and gold and are far more advanced than they used to be.
As for where you can go to look for old coins, i would say check your history books and old maps for your area. if you live anywhere near a river, chances are there was an old town there once.
If you live in the USA, then you obviously only have 200 or so years of coins falling to the ground. maybe you should look in to gold detecting instead.