In the videogame crusader kings 2, zoroastrian characters are able to marry their close relatives. Was this common in real life? Did every level of society engage in it or was it just the nobility? Also, what is the basis for such unions being seen as sacred?

This article is ridiculously extensive with references, although it may be biased, does seem to be comprehensive. It warns that there is very limited information on the extent of this practice, and that the term may also apply to cousin-marriage in some sources, which is not uncommon at all for the period. As that article concludes (emphasis mine):

The actual practice in historical times, which is difficult to deny, should also be seen in the context of the Zoroastrian world view, where the cosmic battle between good and evil during the period of Mixture, in which mankind finds itself, is conducted on three levels: by the deities in the other world; by the sacrificers, who provide the link between the two worlds; and by humanity in this world. Thus, the behavioral prototypes provided by the gods and the priests (including the kings) may have been interpreted literally and led to the extension of the practice among royalty (the king being also the high priest) and, to an unknown extent, in the population in general. Modern Parsi scholars, being more concerned with how they were seen and judged by Muslims, Hindus, and Christians, in their discussions of xwēdōdah, do not seem to have considered this particular aspect of their religious traditions.

I hesitate to belabor the point, because the article is pretty darn informational. There is a huge, huge section on the mythological basis which should tell you everything you could want to know. To what extent really depends on who and where. It happened among the royalty, but there's not much information about commoners.