Most ebook formats are already compressed, so the usual reason for a ZIP is single-file HTML possibly with images. Probably all readers that support ZIP files support this case. The one I am most familiar with is FBReader. What it does is automatically open a ZIP containing one recognizable ebook. It can handle multi-file HTML if there is a .opf file (i.e. it is an OEB ebook, with the .opf controlling the order of the HTMLs), and in this case it will open the .opf file. On most devices, if there are multiple potential ebooks in the ZIP FBReader will ask you which one you want to open. Essentially it unzips into a subdirectory and then opens its file view on that subdirectory.
If a reading device supports CBR and CBZ, then it probably says so explicitly.
I'm not sure what happens with PDFs.
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