Here are the right enumitem parameters for the enumerate environments:
\documentclass[a4paper]{article}
\usepackage[scale=0.75]{geometry}
\usepackage[english]{babel}
\usepackage[utf8x]{inputenc}
\usepackage{amsmath}
\usepackage{amsthm}
\usepackage{amssymb}
\usepackage{textcomp}
\usepackage{enumitem}
\setlist[enumerate]{nosep, label=(\arabic*)}
\theoremstyle{definition}
\newtheorem{lem}{Lemma}
\begin{document}
\begin{lem}
\begin{enumerate}[wide,labelindent = 0pt, labelwidth = ! ]
\item xxxx
\item yyyy
\end{enumerate}
\end{lem}
\begin{proof}
\begin{enumerate}[wide,labelindent = 0pt, labelwidth = ! ]
\item xxxxxxxxxxxxxxxxxxxxxxxxx. xxxxxxxxxxxxxxxxxxxxxxxxx. xxxxxxxxxxxxxxxxxxxxxxxxx. xxxxxxxxxxxxxxxxxxxxxxxxx. xxxxxxxxxxxxxxxxxxxxxxxxx. xxxxxxxxxxxxxxxxxxxxxxxxx.
\item yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. \end{enumerate}
\end{proof}
\end{document}

If you want the labels to be indented, don't write anything about labelindent: with the wide parameter, it is set by default to labelindent=parindent`, and the parameter given here simply overwrites this value.
As for the theorem symbol, ntheorem handles it automatically(I used the standard set of theorems, but it can be entirely customised):
\documentclass[a4paper]{article}
\usepackage[showframe, nomarginpar, noheadfoot]{geometry}
\usepackage[english]{babel}
\usepackage[utf8x]{inputenc}
\usepackage{amsmath}
%\usepackage{amsthm}
\usepackage[standard, thmmarks, amsmath]{ntheorem}
\usepackage{enumitem}
\setlist[enumerate]{nosep, label=(\arabic*)}
\theoremstyle{definition}
\newtheorem{lem}{Lemma}
\begin{document}
\begin{Lemma}
\begin{enumerate}[wide,labelindent = 0pt, labelwidth = ! ]
\item xxxx
\item yyyy
\end{enumerate}
\end{Lemma}
\begin{Proof}
\begin{enumerate}[wide,labelindent = 0pt, labelwidth = ! ]
\item xxxxxxxxxxxxxxxxxxxxxxxxx. xxxxxxxxxxxxxxxxxxxx xxxxx. xxxxx xxxxxx xxxx xx xxxxx xxx. xxxxx xxxxxxx xxx xxx xxx xxxx. xxxxx xxxxx xxxx xxxx xxxxxxx. xxxx xxxx xxxxxxx xxxxx xxxxx.
\item yyyyy yyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyy yyyyyyy. yyyyyyyy yyyy. yyyyyy yyyyyy. yyyyy yyyyyyy. yyyyy yyy yyyy. yyyyyy yyyyyy. yyyyyyyyyyyy. yyyyyyyyyyyy. yyyyy yyyyyyy. \end{enumerate}
\end{Proof}
\end{document}

(1)and(2)manually and use paragraphs. – Jeroen Zuiddam Mar 05 '14 at 18:05