Equities generally offer better returns than bonds, money market accounts and other low-yield, interest-bearing investment vehicles. This is because they are inherently risky. Whereas it is exceedingly unlikely that the United States Treasury will default on its debts in the near future, it is probable that one or more publicly-traded American companies will file for bankruptcy protection within the next year.
If you own stock in a recently-bankrupt company, the IRS may permit you to claim the full amount of its original purchase price as a capital loss on the current year's tax return. However, your holdings must be completely worthless and you must be unable to unload any remaining shares that you own. Unfortunately, many beaten-down equities don't meet these two criteria simultaneously. Some bankrupt companies continue to trade as "penny stocks" for years even as their creditors slowly dismantle them.
As long as a stock retains some value, the IRS views it as an active equity. Unless you can prove that it has ceased trading indefinitely and retains no nominal value, you'll be stuck with your worthless position. With few exceptions, the equity must be de-listed by the exchange on which it trades before you can safely claim it as a capital loss. Otherwise, you'll have to sell it for just a few pennies per share and claim a slightly smaller loss.
Your ability to claim a capital loss on a now-worthless equity holding is limited in a few key ways. First, you must claim the loss during the tax year in which it occurred. Since an equity may continue to trade at dramatically-reduced valuations for years before its final de-listing, this can be difficult. You'll have to continue paying attention to the stock's price long after it's in your interest to do so.
If you become aware of the stock's de-listing after filing your tax return for the year in which it occurred, you may amend that year's return to reflect your newly-realized loss. The IRS will accept amended returns for the previous seven tax years. Beyond that, there is no facility for claiming a capital loss on a worthless stock.
Also, the total value of your capital losses should not exceed that of your capital gains by more than $3,000 in a given tax year. However, you may "carry forward" losses greater than $3,000 onto future tax returns until they have been fully realized.