The price there is to pay for the seemingly tight
spreads that these brokers fake ("zero"), is that the volume at the best bid/ask is minuscule. These brokers usually do not provide real limit orders (meaning your order cannot be executed beyond your limit) but only so called "market if touched"-orders (MIT), meaning that, as soon as your MIT order is activated (limit touched) it becomes a market order and can be subject to slippage; basically any amount that you want to trade will result in slippage.
If you do not want to experience slippage, use a broker that provides real limit orders. Some of these have been already mentioned (LMAX, Dukascopy with their JForex platform).