In set theory, the natural numbers are defined by means of inductive sets and the successor operation
$S(n+1) = n \cup \{n\}$
As such, we have
$1 = \{0\}$, $2 = \{0, 1\}$, $3 = \{0, 1, 2\}$, etc.
Thus, as the natural numbers $n$ get larger and larger, they get closer to approximating the set $\{0, 1, 2, 3, \ldots\}$, which of course, is $\mathbb{N}$. So while this seems a bit under-handed, since limits are really only defined for functions, it seems true in a sense that $$ \lim_{n \to \infty} n = \mathbb{N} $$
Is there any way in which this is rigorously true? Are there any consequences of this "fact"?
There are notions of upper and lower limit of a sequence of sets (or of elements of a Boolean algebra), and when these coincide for a particular sequence, they are often called simply the limit. The upper limit of a sequence of sets $A_n$ consists of those elements that are in $A_n$ for infinitely many $n$. The lower limit consists of those that are in $A_n$ for all but finitely many $n$. In this sense, $\mathbb N$ is indeed the limit of the sequence of sets usually used to code the natural numbers (von Neumann's coding scheme, where $n=\{0,1,\dots,n-1\}$).
It should be emphasized, though, that (1) this set-theoretic notion of "limit" is quite different from the notion with the same name in calculus and (2) this result about $\lim_{n\to\infty}n$ depends strongly on the particular way that one chooses to code natural numbers as sets. For example, with the coding (proposed, I believe, by Zermelo) where $0$ is the empty set and $n+1=\{n\}$, we'd get that $\lim_{n\to\infty}n$ is the empty set.