Where in the world do people get this idea? Every time that I teach a class where the number-theory content is elementary enough for this to come up, someone thinks either that it's both even and odd, or neither even nor odd.
It's hard for me as a mathematician: a number is even if it's divisible by 2; 0 is divisible by 2; so 0 is even.
(EDIT: Err, sorry, I was rebutting those who claim that it's neither. I should say instead: a number `n` is odd only if `n + 1` is even; 0 + 1 = 1 is not even; so 0 is not odd. Maybe this is a bit less convincing?)
I honestly can't see the confusion—except to attribute it to a memory of a flustered grade-school teacher who was unprepared for a question and so had to recall his or her own flustered grade-school teacher ad infinitum.
(Oh, or is it maybe a confusion with infinity, which, if we were to try to classify it, would have some claim to being both?)