I will keep my response focused on their identity as many other responses have included most of the other basic information. 

It is important to look at this passage as a whole and to consider what is going on in it. 

> Zechariah 12:10-14 “And I will pour out on the house of David and **the inhabitants of Jerusalem** a spirit of grace and pleas for mercy, so that, when **they look on me, on him whom they have pierced, they shall mourn for him**, as one mourns for an only child, and weep bitterly over him, as one weeps over a firstborn. 11 On that day the mourning in Jerusalem will be as great as the mourning for Hadad-rimmon in the plain of Megiddo. 12 The land shall mourn, each family[a] by itself: the family of the house of **David** by itself, and their wives by themselves; the family of the house of **Nathan** by itself, and their wives by themselves; 13 the family of the house of **Levi** by itself, and their wives by themselves; the family of the **Shimeites** by itself, and their wives by themselves; 14 and all the families that are left, each by itself, and their wives by themselves. (ESV, emphasis added)

So we must ask, who is this directed toward? The simple answer is that it was the Jews who were responsible for Christ's crucifixion.
How is that connected to the houses that are named, those were we are told will mourn? Judah is not named directly. However, we are given the house of David, the house of Nathan, the house of Levi, and the family of Shimei. They all seem to be contemporaries of David, so the most natural identification is King David, the Prophet Nathan or David's son Nathan and Shimei.
David is of the house of Judah. The Prophet Nathan's house is not known for certain, however other Nathans mentioned in Scripture, including a son of David, are all of the house of Judah. Here is a brief [summary][1].
While a historical Shimei is of the house of Levi, he is not contemporary with David. Rather the Shimei of 2 Samuel 16 and 19 who curses David but later repents to him would make more natural sense. 
The thing that makes this interesting is that this Shimei is of the house of Benjamin.
So we have named here families from the tribes of Judah, Levi and Benjamin.
If this isn't immediately familiar, those are in fact the tribes of the Southern Kingdom who are taken into exile and later return. 

These are the ancestors of our modern Jews and this gives the prophecy a historical perspective that is unsurprisingly specific and accurate.

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  [1]: http://www.newadvent.org/cathen/10711a.htm