In Firefox, Opera, and OmniWeb (and probably others) you can also set it up so that you can type a keyword and the zip code right into the address bar. I have it set up for "wx <zip>".
To do this in Firefox, just go to your weather site of choice, right click where the zip code goes, and select "Add a keyword for this search"

Then, just name your new bookmark (search keywords in Firefox are stored as bookmarks) and pick a keyword. I suggest something short:

Now try it out... hit command (or control) L (or click in the location bar) and type your keyword, a space, and your zip.
Your Firefox probably already has some search keywords configured; look in Bookmarks -> Quick Searches to see which. (wp for Wikipedia is probably the most useful one in there)
(I gave the directions for Firefox since that's probably more popular than Opera or OmniWeb. For OmniWeb it's "Add Search Shortcut" and for Opera it's "Create Search")