I've been using zsh for a couple of years now on Ubuntu and really like it a lot.
I've installed it on our production server as well, which is running CentOS 5.2, and it works just fine.
However, I just installed it via yum on a new VM I created to use as a development box, to replicate our production box as closely as possible.
Although yum shows that it is definitely installed (/bin/zsh) and that it is set as my shell, it does not appear to be working. Instead of creating the .zshrc and .profile files in my home directory, it created a .tcshrc file. Also, I did not receive the default configuration menu that is always displayed once you begin using ZSH, and none of the features (like advanced tab comple