Some tips:
Here is a nice diagram of the Dispatch process
http://nethands.de/download/zenddispatch_en.pdf
It is much easier to understand ZF if you are experienced in OOP / OOP Design Patterns
When I first stumbled across ZF I had little knowledge of OOP. ZF prompted me to learn OOP which was a very good thing.
Distinguish between the 'magic' of ZF and the actual ZF Architecture
Although I have a good understanding of ZF Classes I still get confused when ZF adds its 'magic' to the mix.
When I say 'magic' I am referring to things like
- the default objects loaded and used if none specified, and
- url-controllername-filepath-filename inflections / naming conventions.
- config settings-to-class-instantiation mappings
ZF is a bit like a crack-dealer in the sense that the 'Getting Started Tutorials' get you hooked straight away. They perform so much magic that it makes you think
.oO(Wow - how simple was that! This framework is cool!)
Then as soon as you start to try to do your own thing - the magic starts to get really confusing.
So - my tactic is to remove as much ZF magic as possible. If you have the option to specify a class to use, or a router to use, then specify it. Don't let Zend do it for you.
Then when something weird is happening you can find the bugs more easily.
Also, if you specify the locations of classes/ paths as (opposed to letting ZF magically inflect paths and find scripts), then you do not have to worry about questions of 'where to put this? , where to put that?' - you just put things where you want them to be and explicitly point ZF to them.
As you get more familiar with ZF you might then want to let it take over and do some magic for you. Only then can you really understand why that magic is convenient.
As Tim Wardle said in another answer - favour require statements over zend loader until you really need it.
If you are a PHP design house that churns out 10 website projects a week, then ZF Magic can be really useful. If you are designing your first ZF app - then 'reducing complexity' is a more important design goal than 're-usability'.
Browse the code
It might seem obvious but one of the best ways to learn about the ZF is to look at the code.
Again the ZF magic can get in the way - I often want to look at a method's arguments to discover what i need to pass in only to discover that it expects an ambiguous 'options array' (not exactly helpful). After a while, though, you start to notice the conventions used in how an 'option key' marries up to a getter/setter method. So, keep looking at the code and familiarising yourself with the 'ZF way'.
I 'ope that 'elps.