Many penny stocks are traded on NASDAQ and the OTCBB. I'd stay away from pinks, but that's your call.
According to the SEC, penny stocks are speculative stocks of small companies trading under $5 (estimation). One way to think of it is to look at microcaps since many penny stocks on those two exchanges are microcaps too. (microcaps have under $250m in market cap).
Source: penny stocks blueprint (free PDF) which is from http://www.pennystockscapitalist.com.