In 2010 'Penny and Nickel Coins were produced at a loss of $42.6 million' according to US Mint Annual report which can be found here
http://www.usmint.gov/downloads/about/annual_report/2010AnnualReport.pdf
According to that report, 1 Penny cost 1.7 Pennies to make with the changes they made to make it lighter, while the Nickel cost a overwhelmingly 9 cents to make. Canada has successfully stricken the penny from circulation, much to the benefit of her citizens.
Watch this youtube video concerning the end of the penny. https://www.youtube.com/watch?v=y5UT04p5f7U