It's way dialectical, of course, but in MSA at least 'ز' is a [z] sound, 'ث' is a [θ] (as in "three"), while 'ذ' and 'ظ' are variants of [ð] (as in "the")— with ظ being the pharyngealized version, similar to 'د‎' and 'ض'. The differences are much easier to hear than to reproduce :P