Looking for ALT+LeftArrowKey solution in zsh

Run cat then press keys to see the codes your shortcut send.
(Press Ctrl+C to kill the cat when you're done.)
For me, (ubuntu, konsole, xterm) pressing Alt+← sends ^[[1;3D, so i would put in my .zshrc

bindkey "^[[1;3C" forward-word
bindkey "^[[1;3D" backward-word

(Actually I prefer to use Ctrl + arrow to move word by word, like in a normal textbox under windows or linux gui.)

Related question: Fix key settings (Home/End/Insert/Delete) in .zshrc when running Zsh in Terminator Terminal Emulator

For anyone using iTerm, regardless of shell

All of the solutions offered here take a backwards approach in my opinion. You're essentially telling your shell to listen for some esc sequence or other key binding you have set in your terminal, creating compatibility issues when you switch shells (If you SSH into some other shell, switch from BASH to ZSH, etc and you lose some if not all of your keybindings).

Most shells have a set of default sequences that come pre-bound. Furthermore, while they aren't 100% consistent, they're close enough. So the easiest way that I have found to create keybinding for a particular action in the shell is to tell your terminal application to bind to the default keybindings that are consistent across shells.

I wrote a compressive solution for getting your terminal to respond as close to native mac keybindings here

Open the iTerm preferences ⌘+, and navigate to the Profiles tab (the Keys tab can be used, but adding keybinding to your profile allows you to save your profile and sync it to multiple computers) and keys sub-tab and enter the following:

Move cursor one word left

⌥+← Send Hex Codes: 0x1b 0x62

Move cursor one word right

⌥+→ Send Hex Codes: 0x1b 0x66

And that should give you the desired behavior not just in ZSH, but also if you SSH into a server running BASH, irb/pry, node etc.

Adding the following to ~/.zshrc worked for me on OSX Mountain Lion.

bindkey -e
bindkey '[C' forward-word
bindkey '[D' backward-word