Actually, e-books don't have zero cost.
Now, I'm not an industry insider, but these are the numbers I've seen thrown about by people who are: The costs associated with the phyiscal book--printing and warehousing costs, etcetera--apparently account for about 10% of the book's actual cost for the big trade publishers. (For independent publishers, this number is probably higher. I've one blog, somewhere--Jay Lake's blog, or Scott Westerfeld's, maybe? that suggested that this number for indie publishers might be closer to 20-30%).
The other costs: There's various levels of editorial, there's typesetting, there's publicity and marketing, there's the cover art, and of course the author.
Even though some of these costs have already been dealt with in the making of the print book, the publisher still has to be able to recoup that initial investment if it wants to continue, well, publishing. (Conversion processes might be a factor too, though I have no idea what that takes.)
Besides, it makes me sad that there's such an apparent devaluing of content, especially since content is basically what one's paying for with an e-book (rather than format), yes?
Edit: Slight correction to what Erik said: Up until now, Amazon has actually been selling those 9.99 e-books at a loss. Macmillan has been getting the hardcover prices for each copy sold. Macmillan wanted to re-negotiate pricing schemes with Amazon because they were concerned that this price wouldn't be sustainable in the long run. Aside from the fear that the cheaper e-books would undercut revenue from new hardcovers (publishing's biggest moneymaker), I suspect that there was some worry that Amazon would turn around and demand a deeper discount for those 9.99 e-books. To which Macmillan would have been free to tell Amazon to take a hike (hopefully a little more politely than Amazon did Macmillan), but even so, that situation probably wouldn't have ended well for anyone. Which isn't to say that this one did.
I really do think that Macmillan is taking steps in the right direction here. If nothing else, they should be allowed to experiment and see what prices the market will bear.