Proper names: Zoe, Zimbabwe, Zambia, Zane, Zelda, Zuleima, Zipporah, Zeke, Zachary, Zebedee, Zumba, Zainab, Zahara, Zachariah
Other Z words: zither, zebra, zipper, zephyr, zoo, zoology, zinnia, zest, zippy, zip, zesty, zero
Although probably not an official word, "zzzzz" is commonly used to represent snoring.
You can find lots more Z words in the dictionary.