Combination bike lock
Matlab, 412 327 bytes
Golfed (Thanks to @AndrasDeak for golfing s!):
s=dec2bin('iecbmgdoh'.'-97)-48;s=[s;-s];T=1e4;D=Inf(1,T);P=D;I=NaN(T,4);for i=1:T;I(i,:)=sprintf('%04d',i-1)-'0';end;G=input('');D(G+1)=0;for k=0:12;for n=find(D==k);for i=1:18;m=1+mod(I(n,:)+s(i,:),10)*10.^(3:-1:0)';if D(m)==Inf;D(m)=k+1;P(m)=n-1;end;end;end;end;n=0;X='0000';while n-G;n=P(n+1);X=[I(n+1,:)+48;X];end;disp(X)

This codes uses some dynamic programming for finding the shortest 'path' from the given number to 0000 using only the possible steps. The challenge is basically a shortest path prioblem (alternatively you could perhaps consider the steps as a commutatuve group.) but the difficulty was coming up with an efficient implementation. The basic structures are two 10000-element arrays, one for storing the number of steps to get to that index, the other one to store a pointer to the previous 'node' in our graph. It simultaneously calculates the 'paths' to all other possible numbers.
Examples:
9871
0981
0091
0001
0000

1210
0100
0000

Examples by @noisyass:

7478
8578
9678
0788
0899
0900
0000

3737
2627
1517
0407
0307
0207
0107
0007
0008
0009
0000

Own Example (longest sequence, shared with 6284)

4826
3826
2826
1826
0826
0926
0026
0015
0004
0003
0002
0001
0000    

Full Code (inlcuding some comments):
%steps
s=[eye(4);1,1,0,0;0,1,1,0;0,0,1,1;1,1,1,0;0,1,1,1];
s=[s;-s];


D=NaN(1,10000);%D(n+1) = number of steps to get to n
P=NaN(1,10000);%P(n+1) was last one before n

I=NaN(10000,4);%integer representation as array
for i=0:9999; 
    I(i+1,:)=sprintf('%04d',i)-'0';
end

G=9871; % define the current number (for the golfed version replaced with input('');
D(G+1)=0;
B=10.^(3:-1:0); %base for each digit

for k=0:100; %upper bound on number of steps;
    L=find(D==k)-1;
    for n=L; %iterate all new steps
        for i=1:18; %search all new steps
            m=sum(mod(I(n+1,:)+s(i,:),10) .* [1000,100,10,1]);
            if isnan(D(m+1))
                D(m+1) = k+1;
                P(m+1)=n;
            end
        end
    end
end
n=0;%we start here
X=[];
while n~=G
    X=[I(n+1,:)+'0';X];
    n=P(n+1);
end
disp([I(G+1,:)+'0';X,''])