I also have an ´02 ZX2. I put a K&N very early on. I think it helps out the God-awful idle on those things. I also recently put on an Iceman intake. I posted a review of it under parts review. Also took out the extra stuff under the stock air box. Once again helping the idle quality. Better bottom end too. If you have an auto like me, then anything is an improvement, imho the ZX2 is a dog off the line. Short version, Yes. it helps.
I have the K&N stock replacement, and I can´t say for sure if it helped my gas mileage (as advertised i think, or as most ppl say), because I drive way too hard to find out
Aside from the very slight increase in HP, I do notice a better throttle response. and combined with doing an exhaust mod, a car breathing a little better is always a good thing. Plus the K&N are reusable which is kinda cool.