In the process of eliminating possibilities to a problem I've been having, I checked the continuity on one of my new plug wires and got nothing....absolutely nothing.

So I checked another - same thing.

Is this correct? I double checked my multimeter - it's working fine. Are plug wires supposed to have continuity?

 

I've always tested resistance.......never tried continuity, guess I could do that when I get home as I have a new set of wires that have not been installed on the car (97 SE) yet.

 

There has to be continuity or the plug wouldn't fire. I think you're reading the meter wrong.

However, you want to test for ohms, not for continuity.

 

Testing for continuity is not the same as testing for resistance.
Usually continuity setting is for less than 100-1000Ω and will have a ringer, on plug wires this will not work.
Need to check resistance on the 100KΩ setting of the meter. IIRC Honda just specifies no more than 25KΩ per plug wire.