The average value of a set of numbers is the sum of the numbers divided by the number of numbers in the set. In this case, the set of numbers is $-4$, $-3$, $0$, $3$, and $4$. The sum of these numbers is $0$. There are $5$ numbers in the set. Therefore, the average value is $0 / 5 = 0$.
Option A is incorrect because the average of $-4$, $-3$, $0$, $3$, and $4$ is not $-1$.
Option B is incorrect because the average of $-4$, $-3$, $0$, $3$, and $4$ is not $2$.
Option C is incorrect because the average of $-4$, $-3$, $0$, $3$, and $4$ is not $3$.
Option D is correct because the average of $-4$, $-3$, $0$, $3$, and $4$ is $0$.