So, a benchmark.

tim@regulus:~$ time zsh -i -c exit

real    0m0.064s
user    0m0.048s
sys     0m0.008s

tim@regulus:~$ time bash -i -c exit

real    0m0.540s
user    0m0.436s
sys     0m0.100s

Both shells had their respective completion systems enabled. (Without them turned on, bash actually beats zsh... but the times are small enough that it doesn't matter.) These times are with a warm disk cache - the first time through both shells were slower. And the numbers stay roughly the same when repeating.