All you have to do is go to System Preferences, open the Keyboard & Mouse preference pane, and then click over to the Keyborad Shortcuts tab. Finally, click the plus sign at the bottom and fill in the following information:
- Application: Finder
- Menu Title: Create Archive
- Keyboard Shortcut: Command-Shift-Z (or whatever you like)
Note: The actual menu name is 'Create Archive of "The Selection,"' where "The Selection" is whatever you have selected in the Finder. I would guess that any menu item that is context-sensitive should be able to have a shortcut in the same way. I found out the name to use by clicking on the background of the finder window (so nothing was selected) and then trying the greyed-out name.
[robg adds: This hint was a surprise to me; I didn't think this was possible, given the dynamic nature of the menu. Very very useful!]

