Set the power supply to a high enough voltage and connect it to the zener through a large resistor (like 10k or 100k).
Definitely don't connect the zener directly to a bench supply with any more than zero volts on its output. There's a beefy capacitor on all of these, and even if you set it for 10mA current limit (or whatever), it ain't gonna be 10mA for the several miliseconds before the power supply actually responds! Bringing it up slowly (precisely as ivaylo says) should be okay.
Also works on neon bulbs, GDTs (vary supply to find breakover, sustain) and MOVs. Assuming you have the hundred(s) of volts to spare, that is.
Tim