In order to include a cross through the origin in my plot, I write the following under \begin{axis}:
extra x ticks={0},
extra y ticks={0},
extra tick style={grid=major},
However, the 0s appear in bold face in my plot. How can I prevent this?
You're printing the labels twice, once with the regular ticks, once with the extra x ticks and extra y ticks, which looks as if they're printed bold. You'll need to switch the extra labels off, by using extra y tick labels={} and extra x tick labels={}.

\documentclass{article}
\usepackage{pgfplots}
\begin{document}
\begin{tikzpicture}
\begin{axis}[
extra x ticks={0}, extra x tick labels={},
extra y ticks={0}, extra y tick labels={},
extra tick style={grid=major},
]
\addplot{rand};
\end{axis}
\end{tikzpicture}
\end{document}
extra y tick labels=,, which switches off the labels for the extra ticks. – Jake Jun 01 '12 at 15:32