Is there a tool that combines zcat and cat transparently?

Try it with -f or --force:

zcat -f -- *

Since zcat is just a simple script that runs

exec gzip -cd "$@"

with long options that would translate to

exec gzip --stdout --decompress "$@"

and, as per the man gzip (emphasize mine):

-f --force
      Force compression or decompression even if the file has multiple links
      or the corresponding file already exists, or if the compressed data is
      read from or written to a terminal. If the input data is not in a format
      recognized by gzip, and if the option --stdout is also given, copy the
      input data without change to the standard output: let zcat behave as cat.

Also:

so that I can pipe the output to grep for example

You could use zgrep for that:

zgrep -- PATTERN *

though see Stéphane's comment below.

zless

It seems a pity about zcat, as libz has an API that supports reading from both compressed and uncompressed files transparently. But the manpage does say that zcat is equivalent to gunzip -c.

I use exactly for the same purpose:

{ cat /var/log/messages ; zcat /var/log/messages*.gz ; }| grep something | grep "something else" ....