There are many good 'true 0-day' protections (Sandboxing, HIPS, Whitelisting, SRP, Anti-exe), but they are not easy for the average user. Advanced security programs like: Kaspersky, Bitdefender, Emsisoft, Eset, Comodo, can use the above solutions, but that depends on the chosen settings.
The simplest, very strong, and well balanced on usability/security, is Windows SmartScreen Application Reputation (Windows 8+) + frequent system/software updates. SmartScreen does not cover scripts (except: *.bat, *.cmd, *.jse, and *.vbe), so home users should block script execution (Windows Script Host, PowerShell, and others). SmartScreen can check only files downloaded from the Internet, but there are solutions that can bypass this limitation.
Also, using Standard User Account can highly reduce 'true 0-day' infections.
I think that Avast in hardened (aggressive) mode (+blocked scripts) is also a good solution.
HitmanPro Alert and Zemana Anti-Keylogger are directed to fight only very specific 0-day malware files.
Malwarebytes 3.0 (free), is good against new malware/adware samples, but it is not a true 0-day protection.