There are three good ways to zest any citrus fruit:

a paring knife
a zester
a microplane or grater

Each will give you entirely different results. Using a paring knife is great for candied lemon or orange peels, using a grater or microplane is great for getting zest into baked goods, salad dressing or other cooking that requires tiny bits of zest, and using a zester is great for decorative zest.

Also, a note about which fruit to buy - your best bet when using zest it to get organic produce! Nearly all conventional produce is coated with wax. The wax can make the zest taste funny sometimes, and it's pretty hard to remove. Can't find organic produce? Scrub the fruit under hot water and that's a start.