Z is a 10-point tile in most games and there is only one of it. That combination makes players hold it, waiting for something worthy — and a Z held for four turns has cost more in wasted rack space than it will earn. The list below is deliberately capped at five letters, because the plays that actually win games with a Z are short ones landing on a bonus square.
The reliable ones
Zax is the standout: a roofing tool, three letters, and it uses two of the four highest-scoring tiles at once. After that, fez, adz, zed, zek and coz are the ones that fit almost anywhere. Biz, fiz and wiz are the useful I-dumps, and zoa takes a Z and two vowels off a clogged rack in one move.
Z at the end
Worth noticing how many of these finish with the Z rather than start with it — biz, coz, fez, fiz, wiz, lez. That shape is what you want when the bonus square is at the end of the run, and it is the case most players overlook because the alphabet trains you to think of Z as a beginning.
The complete list
3 letters (20)
adz azo biz coz fez fiz lez wiz zag zap zax zed zee zek zig zin zip zit zoa zoo
4 letters (83)
adze azan azon bize bozo buzz chez cozy czar daze ditz doze dozy faze fizz fozy friz futz fuze fuzz gaze geez haze hazy izar jazz jeez laze lazy lutz maze mazy meze mozo nazi ooze oozy orzo ouzo oyez phiz prez putz quiz raze razz ritz size sizy spaz tzar whiz zags zany zaps zarf zeal zebu zeds zees zein zeks zerk zero zest zeta zigs zill zinc zing zins zips ziti zits zoea zoic zone zonk zoom zoon zoos zori zyme