Meanings
To pay a lot

Examples
Italy is a beautiful country to visit, but you have to pay a pretty penny for each tank of gas
L'Italia รจ uno splendido paese da visitare, ma per ogni pieno di benzina paghi una cifra

Origin
The origin of this expression is uncertain, but it's believable the attribution to the the special gold penny, worth 20 silver pennies, coined in 1257 under Henry III. Since it was more valuable and more conspicuous than the silver penny, it was known as "pretty penny"