How to learn writing exploits, 0day..? How to start?
I would start by making basic buffer overflow exploits for purposely vulnerable services. It's a great way to start and get a feel for how exploits are found and developed :) you can find plenty of tutorials online, i would recommend practising on vulnserver first.
practising on vulnserver? what do you mean? practicing on servers? If yes, how?
Here is a really good tutorial to getting grips with buffer overflow exploits, it isn't too complicated, and teaches you the basics, then move on to nop sleds once you have got how to do it down.
Bare in mind, the memory allocations may be different for you, and not the same as the tutorial. Here is how i did it :)