Zest refers to the outer most, coloured layer of citrus fruit. It does not include the white pith underneath. Recipes are usually specific about what sort of zest is required. For example; fine zest, like speckles, for lemon icing; long thin shards for cooking in sugar syrup or as part of an upside down pudding; wide curls of zest for drying slowly and using in yummy winter casseroles.
See Microplane for one of the best zesters available in Australia.