I would advise you to connect it up to your multimeter and read the resistance (both ways) and using the diode test function (again. both ways).
This won't tell you if it's a zener, but it will identify resistor/cap/diode, and will also allow you to distinguish between a silicon PN junction and germanium or schottky (nether of the alternatives are likely to be zeners).
To see if it's a zener create a voltage source from one or more 9V batteries in series, and with a resistor of about 1k per volt of total battery voltage in series, measure the voltage drop of the diode connected both ways around.