zgrep appears to capture and process the output of grep, rather than
sending it directly to the terminal, so zgrep --color=auto does not
work.  zgrep --color=always does work, but that would break cases where
zgrep's output doesn't go to a terminal.

One possible fix would be to look for --color=auto and handle that
internally to zgrep, by checking [ -t 1 ] (stdout goes to a terminal)
and passing --color=always to grep if so.

- Josh Triplett