It's NOT a zener, or a diode, or even a voltage source.
A much better way to think of these devices is:
An op-amp, self powered, with open-collector output, and a large, precise input offset voltage.
The REF pin is actually -in, and it's offset by 1.24V or so (2.5V for the regular TL431).
VCC and output are the "cathode" pin. Unlike an op-amp which can source or sink current, this can only sink current.
VEE and +in are the "anode" (common) pin.
Another way to look at it is, a transistor with precision Vbe, very high beta (>> 1000), and low fT* (~1MHz).
*Not precisely "fT", because of the high beta. Voltage gain, or gain-bandwidth product (GBW), would be more accurate.
Now, as an op-amp, you do have to worry about feedback effects. Fortunately, it is unity-gain stable, so you don't have to worry too much in typical applications. Example: REF strapped to K gives a 1.24V reference. Because of the limited gain (especially at high frequencies), this reference will have a constant voltage characteristic at low frequencies, becoming inductive at higher frequencies (where the gain isn't high enough to stabilize the voltage against changes). As an inductance, it can resonate with a capacitance, so you mustn't connect an unstable amount of capacitance across the device. Which is familiar from regular op-amps: they don't usually appreciate capacitive loads.
If you want a higher voltage, no problem, just connect a voltage divider from K to REF to A. This is precisely the same as a non-inverting amplifier circuit. The output impedance and noise level both rise proportionally, of course.
If you use the device in a feedback loop, then you probably need to connect compensation from K to REF. Usually, an R+C is connected here. Then REF is connected to a voltage divider which senses the output, and K connects to the rest of the control circuit. TL(V)431s are frequently used in switching supplies for this reason. It's an error amplifier AND reference, all in one!
Tim