I heard from someone that if you have a S Corp and you don't make any profit for two years, then you can get penalized for it. Is this true?
That is simply not true.
You may have heard part of something else, however: You can get penalized for not filing your 1120S income tax statements (including the very first year of incorporation) even if your profit is 0. http://www.irs.gov/instructions/i1120s/ch01.html (see "late filing of return")
The state of the corporation shouldn't matter for federal income tax, because S-Election is purely a federal tax matter handled by the IRS. (That said, some states do treat S-Corps differently from C-corps in state taxes). In Florida, for the first year in which an entity qualifies as an S Corporation, the company must file the informational portion of Form F-1120 the Florida Corporate Income/Franchise tax return. In subsequent years, S corporations are only required to file Florida Form F-1120 if the S Corporation has federal taxable income. Penalties may be involved if you fail to file these forms.