Step 1: Find the possible diagonal entries.
Each diagonal entry can be chosen from
\[
\{-2,-1,0,1,2\}.
\]
Let the diagonal entries be a,b,c.
Since the trace is zero,
\[
a+b+c=0.
\]
The ordered triples satisfying this condition are
\[
(0,0,0),
\]
\[
(2,-2,0)
\text{ and all its permutations},
\]
\[
(1,-1,0)
\text{ and all its permutations},
\]
\[
(2,-1,-1)
\text{ and all its permutations},
\]
\[
(-2,1,1)
\text{ and all its permutations}.
\]
Hence,
\[
1+6+6+3+3=19
\]
ordered triples are possible.
Thus,
\[
\boxed{19}
\]
choices exist for the diagonal entries.
Step 2: Choose the remaining entries.
A \(3\times3\) matrix has
\[
9-3=6
\]
off-diagonal entries.
Each can be chosen independently in 5 ways.
Hence,
\[
5^6
\]
possible choices.
Step 3: Find the total number of matrices.
Therefore,
\[
19\times5^6
\]
matrices have trace zero.
Hence,
\[
\boxed{19\cdot5^6}
\]
is the required number.
Thus,
\[
\boxed{(A)}
\]
is the correct answer.