Start teaching the letter Z with the Alphabet Song. Each time you sing the song pause at the letter Z, point to it and say a word that begins with the letter -- "Z is for zebra." Next time, have a child come up with the Z word at the end.
Fill a large resealable bag (the heavy duty kind, made for the freezer), halfway with a brightly colored gel. Nontoxic paint mixed with a gel medium makes a great filler. Lay the bag out flat on a table and have the child use his finger to trace the letter Z into the gel. This is a fun way for children to practice writing the letter, contributing to their fine motor skills.
Assign a special word of the day that begins with the letter Z. When they hear the word, it's their cue to quickly make a Z shape with their whole body. Drop the word into sentences over the course of the day but only when you're addressing the class.
Set up two mailboxes at a post office station, one of them marked on the front with a Z. Paste images onto the front of envelopes and place them in a basket at the post office station. Naturally, some of those envelopes should feature things that begin with Z. Children can take turns sorting the mail from the basket into the mailboxes, putting the Z-word envelopes into the Z mailbox.
Make a large felt mat with a capital Z on it. Decorate the Z to look like a road by adding lane dividers or road signs to it. Have the child trace the letter by driving a toy car along the road.
With a paint or image editing program on your computer, make your own coloring activity page. Use a large font with a black outline to type out this poem: "Fuzzy Wuzzy was a bear, Fuzzy Wuzzy had no hair, Fuzzy Wuzzy wasn't very fuzzy, was he?" Add a picture to the page, maybe an outline of Fuzzy Wuzzy himself and print out one page per child. Ask the child to color in only the letters Z on the page. Once they have correctly done that, they are free to color the illustration as well.