WinZsh - Z shell for Windows

Useful links for use with WinZsh. Related projects.

GnuWin32 - The GnuWin32 project provides native ports of many Unix programs. At minimum the CoreUtils package is pretty much a must for use with WinZsh, you won't get very far if you can't even move or delete files. You can download the entire package set with GetGnuWin32, or just download what you need from the main site.
Console - An excellent Windows console enhancement. Adds resizable windows, tabs, enhanced text selection, and several other features. It doesn't turn the Win32 console into a true terminal emulator, but is still a vast improvement.

tcsh - Tcsh distributes a native Windows port with the main Unix port. Note: the author of the tcsh windows port (Amol Deshpande) is also the original author of WinZsh, the two ports share the same design and a large amount of code. The tcsh windows port is still actively maintained by Amol.
Win-bash (and another version) - This is a native Windows port of bash. This is based on the very old bash version 1.14, and hasn't seen much activity in a few years. In my testing WinZsh actually has better success running modern bash scripts than win-bash, although I'm told win-bash is very good at running plain Bourne shell scripts.

UnixUtils - Native versions of many common Unix tools. Hasn't been maintained since 2003, you should almost certainly use GnuWin32 instead. Only listed here because you still find lots of references to it on the web. Note: this contains WinZsh version 0.75.

Cygwin - Cygwin is a Linux-like environment for Windows. A DLL (cygwin1.dll) acts as a Linux API emulation layer providing substantial Linux API functionality. Cygwin contains current zsh packages, and is currently the best way to run zsh on Windows if you care about such things as "features" and "stability" ;).