The raw materials to make pennies are worth more than a penny itself so it makes no sense to continue to throw our tax dollars on the coin. Also pennies are never actually used because they are worth too little.
For more reinforcement to my claim see CGP Grey's video on the topic:
http://www.youtube.com/watch?v=y5UT04p5f7U
Also see John Green's rant on why pennies are not good for the US: