Tennis originated in France and for some reason the egg in french symbolizes having nothing. When a player's score is zero, they say "egg". To say "egg" in french (l'oeuf) it kind of sounds like you're saying "love". So when English-speaking people adopted the sport, the word stuck. Eventually the French abandoned saying EGG and instead used the traditional ZERO while we still use the mispronunciation.
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It has been a tradition for well over one hundred years to use the term "love" to signify zero points, as in the statement, "You don't have any points, but you can still get some love!" (as part of tennis etiquette). The first point that is won, in a game of tennis gets you "15", the second point gets you "30" and the third point gets you "40". The fourth point is "game" (but you must win by two points, otherwise, the score goes by "deuce" for all even, or "advantage in" for the server, or "advantage out", meaning a point for the receiver).