I read many articles about adding it, but I'm not encouraged to use it yet. People says that Drupal doesn't add this user because MySQL Auto-increment starts at 1. So, about adding uid=0, is it a good practice? Is it widely used? What possible problems could I have with it? Thanks. :)
Drupal does come with a row with uid=0 by default.
Some backup tools (notoriously some versions of PHPMyAdmin) are unable to deal with that, so you will lose this row when restoring from backup.
The easiest way to get back the missing row is to issue this query (for example in PHPMyAdmin):
UPDATE users SET uid = uid - uid WHERE name = ''