Penny Stocks are micro-cap stocks that usually trade below $3 and are on the OTC or Pink Sheets market. The fun in playing penny stocks is great returns that are possible. However, with the huge returns come great risks. This is why I love the adrenaline rush of trading penny stocks. Instead of waiting about 1-2 years for a 300% or 1000% gain, with penny stocks this can happen in about a few hours.