Regarding penny stocks and cheap stocks in general, I spent some time messing around with these 20 years ago. When I was an MBA student at KU, I took a class called "Applied Portfolio Management," which was taught by the guy who owns/runs Jayhawk Capital (who is now a part of owner of the Royals). The class was real live money that this guy donated and was treated like part of the endowment for the B school. This guy was (prolly still is) a big value investor, so we'd look for companies with super cheap stocks that had decent book value and earnings enough to cover their debt, etc. Most of our work was really just re-evaluating stuff that was already in the portfolio tho. We'd pick up the phone and just call these companies' investor relations departments and chat them up. "you dudes going to pay down some debt or what?" It's amazing what they will tell you, and basically anyone could do this. He'd conduct conference calls with the CFO while we all listened in. "You guys going to finally start paying dividends?" all kinds of crap.
Anyway, my advice would be to pick some that look good on paper (book value over market value, earnings to cover obligations, good ratios compared to peers, etc) and call the fuckers and chat them up. Then decide whether to buy them.