In your theme.info file you simply include the name of the stylesheet the module is including e.g cck.css, views.css etc and zen will look in your theme directory for that stylesheet instead, if it doesn’t exist it won’t include one. It’s also a good way to completely override a stylesheet a module includes, that way you can still keep your styles for that module separate in case you decide to disable it. The admin theme is definitely something I do, as you don’t have to worry about making your admin pages unusable with clashing css, although I prefer the admin module http://drupal.org/project/admin better than the wordpress admin.