PiZero does not seem to have conventional GPIO pins. How to use GPIO?
As Patrick pointed out they have identical functionality to the Pi 2. The only difference is that the headers are not populated. This does have a few advantages, it allows you to choose the header style, in addition to the male headers which have come on all previous Pi's,
you can choose to use a right angle headers
which allow a a vertical mounting of the Pi (similar to a daughterboard or PCI card in your computer);
or female headers.
which allows mounting it directly to a Pi Cobbler
The decision not to populate the headers means that you do need to solder them yourself, but has the benefit of more flexibility in mounting and and connecting wires to the GPIO pins.
I replaced a (first Gen) Pi B with a Pi zero, because it made fitting the whole project into an enclosure much easier.
Images form adafruit.com Introducing the Raspberry Pi