I'm trying to prove that $$a=0 \iff \vert a\vert<\epsilon,\forall \epsilon>0$$
First, lets prove that $a=0 \rightarrow\vert a\vert<\epsilon,\forall\epsilon>0$. This is proved by contradiction, we assume that $$a=0$$and there exists an $\epsilon >0$, such that $$\vert a\vert\geq\epsilon$$ Since $a=0$, then $\vert a \vert = 0$. In other words, there would have to be an $\epsilon>0$, such that $0\geq \epsilon$, which clearly can't be true. This proves that left implies right. Next, we must show that $$\vert a \vert<\epsilon \to a=0$$
For all $\epsilon >0$. My idea was to interpret $\vert a \vert < \epsilon$ as a set of elements, for which the distance from zero is always less than $\epsilon >0$, which means the set has only a single element, zero. How can I show this rigorously?
For the first part, you don't need proof by contradiction, and indeed, it only makes it more complicated to see what's really happening. It's quite simple.
For the second part, first of all, a warning, your sentence:
is quite slopy, and read as is, untrue. What you must show is that $$(\forall \epsilon > 0: |a|<\epsilon) \rightarrow (a=0).$$ The scope of the quantifier is very important here.
To actually solve the second part, I suggest you either use proof by contradiction, or even better, contraposition. That is, instead of proving the statement above, prove the equivalent statement
$$(a\neq 0)\rightarrow (\exists \epsilon > 0: |a|\geq \epsilon)$$
(remember, the statements $A\rightarrow B$ and $\neg B\rightarrow \neg A$ are equivalent).