User with uid=0 in database
Is this record important?


Yes, it prevents some queries from failing if it's anonymous user who caused them.


  Does it have to be there?


There is a possibility site would stay browsable you remove it... but it would mess your login functionality and may prevent sessions from persisting.


  If yes, I'll do some trick to ignore it in my select.


Consider using EntityFieldQuery. Omit UIDs lower than 1, or select only users with name, etc.