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The only teams to have started 4-0 only to miss the playoffs since '08-09 are Calgary and...
The only teams to have started 4-0 only to miss the playoffs since '08-09 are Calgary and Minnesota. Everyone else with a 4-0 record not only made the playoffs, but finished near or at the top of their conferences.
— An interesting stat, courtesy of Eric Engels, that should make us all optimistic. Granted, he's only talking about a few seasons, but clearly starting the season 4-0 helps goes along way towards finishing the season 5 games above .500 (i.e., in playoff territory).
**Update - There were 6 additional teams that went 4-0 since the lockout. All of them made the playoffs.

