ZRS offers you the best redundancy locally, without failing to a different region.
By default, there are three copies of the data (LRS), which are stored in one of the Azure datacenters (there are usually three that make up a region - more information on what regions have zones are here: https://azure.microsoft.com/en-us/global-infrastructure/geographies/?WT.mc_id=AZ-MVP-5004796#geographies & https://learn.microsoft.com/en-us/azure/availability-zones/az-overview?WT.mc_id=AZ-MVP-5004796 ).
"LRS is the lowest-cost redundancy option and offers the least durability compared to other options. LRS protects your data against server rack and drive failures. However, if a disaster such as fire or flooding occurs within the data center, all replicas of a storage account using LRS may be lost or unrecoverable."
ZRS spreads those three copies to 3 different data centres - which are physically separate.
GRS is then ZRS and then replicated to a single datacenter in the secondary region (LRS).
Its a conversation around risk and type of data, most commonly LRS makes sense for Dev/Test workloads, and ZRS/GRS for Production for additional resiliency (or at least ZRS and GRS for your Backups), but if your dev/test workloads may also be produced for some users, then ZRS makes sense.
Another comment I will make is, to consider all parts of your architecture, its no use having some parts GRS and other parts LRS or ZRS, as the application may not function or failover, you might be spending more than you need to or need to build more redundancy into your application.