The letter itself is pronounced both ways regionally. I grew up calling it "zi." Other people I know call it "Zed" Of course, that regional change doesn't really affect the pronunciation of words using the letter Z, just what the letter is called to avoid confusion (Because "Zi" pronunciation sounds very similar to other letters like B, C, D, E, P, V, etc).

In American English 'Z' is 'zi'. But in British English and many other places 'it's 'zed'. For example: zebra. Americans pronounce it as 'zeebra', while the British and Jamaicans :) pronounce it as 'zebra.'