> So do you all say Zed instead of "Z" as well?

If by "you all" you mean the British, the Irish, the (older*) Canadian, the Australian, the New Zealanders, the South Africans and all the people who are taught British English as foreign language, then the answer is a clear yes.

* http://en.wikipedia.org/wiki/Canadian_English#Phonemic_incidence

> Hence making the band ZZ Top, Zed Zed Top? :)

I can't speak for others, but as this band is known to me and I also know that they're from the US, I know how to pronounce it as it is meant to be pronounced :-)