It's a diode, but it's not designed to be used like a diode. Instead, it's built with a carefully controlled amount of impurities to lower the breakdown voltage to a precise level. Then the diode is placed backwards into a circuit. Thus, a 10V zener diode will not conduct anything if the voltage on it is less than 10 volts, but will suddenly turn essentially transparent when the voltage is greater than 10V.

Zener diodes are usually the critical components in voltage regulators, but they are not used by themselves. At the very least, you need to attach a resistor in series with the diode to limit the amount of current that flows through the device...even if it is essentially transparent to voltages higher than 10V, a 10V drop * a large current will create enough power to blow it out.