Zeners may be indistinguishable from regular diodes. Zener diodes may have a dark plastic casing with a dark stripe, which is the same coloring as that of other diodes. Many other zener diodes are copper colored, and are enclosed in a glass casing with a white or black or blue stripe. Still others may have metal casings.

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If the diode is loose and you don't have the package, find the number that is on the casing. For example, it may be 1N4734A or 1N751. This is enough information for you to do a search using your favorite search engine. Another method is go directly to a manufacturer's or distributor's website such as Fairchild Semiconductor or Newark, and look for the component there.
Sometimes the diode is not loose, but is soldered to a circuit board. It may be soldered in such a way that you are unable to see the number. In cases like this, look to see if the zener diode symbol is displayed on the board. The symbol is the same as that of a regular diode, save that the bar representing the cathode has extra lines that point up and down.