If you want an analogy, consider the first infinite ordinal, [itex]\omega[/itex]. While it is an infinite ordinal, but every initial segment is finite... if you can understand this, you should be able to understand the first uncountable ordinal.

x_{0} exists because ordinals are well ordered. Any collection of ordinals has a smallest element.

Did you understand Hurkyl's response to your question?

I.e. either you meant to ask: why does it follow logically that the statements given are true? (which is an immediate consequence of their definitions and of logic)

or you meant to ask: "I understand the proof, but how can this be possible?"

Hurkyl answered the second version of your question.

re-reading, it seems your question 1) was the psychological one,
and your 2) was a (tauto)logical one.

ah yes, you said you wanted an intuitive grasp of the set, so Hurkyl understood you correctly.

Thanks Hurkyl - after reading your response, I went back and checked. Turns out my understanding of well-ordering was incorrect; I now get the logic. The analogy gave me food for thought, so I will think on it for now and see if I can persuade myself that it works.