I'm not using ZA so I'm sorry if I'm outdated with its available options. I remember seeing Internet Zone and Trusted Zone options for ZA.
Are you asking High or Medium for both or for Internet Zone or Trusted Zone only?
If you are asking for both options:
It's recommended to set the Internet Zone to High so your ports are hidden from hackers. That is stealth mode.
For Trusted Zone - it is good to keep it in Medium if you are on network which means you have other devices that will access your computer and ensure that you trust those connections and put them into Trusted Zone. You may set it to high but if you share with another device e.g. printers or another computer or PDA etc, you might need to set it Medium.
A friend of mine commented that my Zonealarm Internet Zone section of my Firewall should be set to medium. I've set it all the while to high. Is it better to be medium or high? Appreciate feedback. Thanks