The limits are not about a value at a point, but about the values approaching that point.
I.e. why is the function $\frac0x = f(x)$, not undefined at $x=0$?
It is undefined at that point. However, its "neighbourhood" is defined, and that's what the limit gives you.
Thus $\lim_{x\to0}\frac0x=0$ means that $x$ approaching $0$ from both sides results in the same value, $0$, the limit must be defined from both sides and equal, i.e. the function is continuous in there, $\lim_{x\to0^-}\frac0x=\lim_{x\to0^+}\frac0x=\lim_{x\to0}\frac0x=0$.
Edit:
This function ($f(x)=\frac0x$), alike $\frac1x$, is continuous in its domain, $\mathbb R\setminus\{0\}$. (it can't really be continuous for $x=0$, because $0$ is outside it's domain) And so I see the confusion, as $\lim_{x\to0^+}\frac1x=+\infty$. One could naïvely think this is because $\frac10=\infty$, but that is (if taken literally) outside the standard definition of the real numbers, and regarding limits, an abuse of notation for $\lim_{x\to0^+}\frac1x$. Unknowingly, one might have expected $\lim_{x\to0}\frac0x$ to be a thing of that sort ($\infty$, or at least undefinition of the limit), but as I said in the beginning, that's not what limits are about.
Besides what I have said, I was going to include something with the $(\varepsilon,\delta)$-definition of limits, but I don't know it very well and it is quite confusing. So, I'll follow the initial infinitesimal spirit of Calculus, now present in the more intuitive Non-standard analysis. We know $\forall x\in\mathbb R\setminus\{0\}, \frac0x=0$. Imagine $x$ is a very small number. No matter whether $x$ is positive or negative, and no matter how small, $\frac0x$ will be $0$. That means the stated property is extensible beyond $\mathbb R$. The limit is essentially another interpretation of that, denying numbers smaller than all reals by using numbers without a fixed value ($x\to0$ instead of fixed infinitesimal $x$). Sorry for not adding a formal theoretical basing to this yet, I'll try to do it ASAP.
:)
– JMCF125 Mar 08 '14 at 12:26