In this paper, we study percolation on finite Cayley graphs. A conjecture of Benjamini says that the critical percolation $p_c$ of any vertex-transitive graph satisfying a certain diameter condition can be bounded away from one. We prove Benjamini's conjecture for some special classes of Cayley graphs. We also establish a reduction theorem, which allows us to build Cayley graphs for large groups without increasing $p_c$.