Which sites are 0 confirmation? I don't know of any. It's also very difficult to double-spend a transaction after about 10 seconds provided there was a minimum transaction fee.
ShapeShift
Well, I'm sure they have something in place, similar to BitPay. Notice that BitPay does not wait for a confirmation, but they check the transaction if it looks good, includes a fee, has been relayed and seen by many nodes, and is likely to be confirmed.
There is another site that does not wait for confirmation, rebit.ph they update your transaction as "confirmed" as soon as about 10 to 20 seconds after you broadcast it, but they still take 3 hours to pay out.
Bitgo also claims to have this feature enabled in the service that they provide.
So this is not something that is so rare to see being implemented nowadays:
Prior to BitGo Instant, typical transactions took 10 minutes or more to be recorded in a block by miners. Until confirmed in the blockchain, transactions are known as “zero-confirm” transactions, and are unsafe to rely on. This is because without BitGo Instant’s guarantee, it is possible for the sender to spend the money elsewhere before the transaction is confirmed. As a result, most Bitcoin businesses require multiple confirmations to credit a deposit, which can take anywhere from 30 minutes to several hours. With BitGo Instant, funds can be available immediately after receipt.
*quoted from the opening statement of the Bitgo instant splash page.
