Think of $z=a+r e^{i \theta}$. Then $dz=i r e^{i \theta}$ and the contour integral becomes
$$i r^{n+1} \int_0^{2 \pi} d\theta \, e^{i (n+1) \theta}$$
So long as $n$ is an integer, the above integral vanishes...except when $n=-1$, when it is equal to $i 2 \pi$. Yes, even when $n$ is less than $-1$, the integral vanishes.
This is why the residue of a function is defined as the coefficient of the $(z-z_0)^{-1}$ term in the Laurent expansion about a pole $z=z_0$. All other terms in the series vanish upon integration about a closed loop around the pole.