A personal exemption is added to your tax return automatically, as long as you don't indicate that someone else is claiming you as a dependent. You don't list yourself as a dependent of yourself. Also, a spouse is not a dependent.

You can see whether you claimed a personal exemption by looking at line 42 of your 1040:

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• Line 42: personal exemption of $4,050 ($8100 if married)

Claiming 0 allowances on your W4 is a totally different issue. That simply relates to withholding. Sometimes people claim 0 to have more taxes withheld.

What you claim at work does not have to match your tax return.  

You get an exemption for yourself and each person listed on your return.  Each exemption is $4,050
 1040 line 42
1040A line 26

Or for a 1040EZ the 4,050 is included on line 5 with the 6,300 standard deduction.  
So for Single line 5 would be 4,050+6,300 = 10,350
For Married line 5 would be 8,100+12,300 = 20,700