legal limit is usually 1/16" inch or more (and yeah, the penny trick is pretty common). but legal doesn't necessarily mean safe, and i would never drive around with 1/16" of tread depth. first of all, the ability of a tire to disperse water is inversely proportional to tread depth (as a tire rolls over wet ground, the water has to be displaced, right? where can it go? it has to be directed out through the channels and canals in the tire tread... if those channels are too shallow (worn tread) the water can't get displaced fast enough = hydroplaning!!!). a tire doesn't go from being good to bad overnight... it's gradual, and a tire with half it's tread left has only half the hydroplaning resistance of a new tire, but its dry traction is usually maintained until it gets much closer to bald. but i guess it would be unreasonable to require people to get rid of half-worn tires, so that's where the 1/16" rule comes in. (kind of like the 1" rule for carseat tightness... 1" is not ideal, but the limit has to be set somewhere reasonable to balance feasibility with safety, right?)
to measure the tire using the penny trick, you should measure across all the channels, not just one, and do this for every tire. tires don't wear evenly, depending on tire pressure, which corner of the car they are on, and vehicle alignment. if *ANY* channel has less than 1/16" of depth left, the tire is legally bald and needs to be replaced.
also, when replacing the tire, don't just get whatever tire the tire shop tries to sell you. while all tires have to meet minimum requirements for wet and dry traction, as well as heat resistance, not all tires perform the same, obviously. you should go to
tirerack.com and do a search for tires for your specific vehicle. tirerack has a great comparison feature which compares tire rankings in about a dozen categories ranging from wet traction, dry traction, road noise, comfort, tread life, etc... (also note that tread life is often inversely proportional to traction, since longer tread life is achieved by harder rubber compounds which don't grip as well).
of course, best practice for someone in your climate is to have dedicated sets of high performance summer tires and winter tires, each set mounted on their own set of rims (tirerack sells winter tire/rim complete sets). then just swap them out twice per year. some people consider this a financial burden, but if you think about it, it's really not... each set of tires lasts longer because it's only being used for a portion of the year, not all year round. so the initial investment is higher, but it evens out over several years (like buying a more expensive carseat that you know will last longer based on weight/height accomodations).
anyway, that's my recommendation to anyone shopping for new tires, but the alternative is to just stick with a high-quality all-season tire. it won't so as well in any season, but for 95% of the population, they seem to be good enough. FWIW, i only started buying dedicated summer and winter tires just before DD1 was born three years ago, but i am a total convert...i will *never* go back to all-seasons... i notice that much difference.
(They do have a specified measurement, but I forget it exactly & this silly method stands out more in my memory). Sooooo, since we all know legal doesn't necessarily mean safe for carseats I'm guessing it stands to reason that legal doesn't necessarily = safe for tire tread 
