For zsh: [Note that zsh seems to read ~/.profile as well, if ~/.zshrc is not present.]
+----------------+-----------+-----------+------+
|                |Interactive|Interactive|Script|
|                |login      |non-login  |      |
+----------------+-----------+-----------+------+
|/etc/zshenv     |    A      |    A      |  A   |
+----------------+-----------+-----------+------+
|~/.zshenv       |    B      |    B      |  B   |
+----------------+-----------+-----------+------+
|/etc/zprofile   |    C      |           |      |
+----------------+-----------+-----------+------+
|~/.zprofile     |    D      |           |      |
+----------------+-----------+-----------+------+
|/etc/zshrc      |    E      |    C      |      |
+----------------+-----------+-----------+------+
|~/.zshrc        |    F      |    D      |      |
+----------------+-----------+-----------+------+
|/etc/zlogin     |    G      |           |      |
+----------------+-----------+-----------+------+
|~/.zlogin       |    H      |           |      |
+----------------+-----------+-----------+------+
|                |           |           |      |
+----------------+-----------+-----------+------+
|~/.zlogout      |    I      |           |      |
+----------------+-----------+-----------+------+
|/etc/zlogout    |    J      |           |      |
+----------------+-----------+-----------+------+

Moral:
- For zsh, put stuff in ~/.zshrc, which is always executed.