Zealous daggers can be useful, but they're definitely not the only choice. For instance, the standard Shadow Prison assassin will only be doing his combo once every 20 seconds, and when you figure in critical hits he should be able to regen most or all of the spent energy during that interim. If you're using a build that can combo every 12 seconds or something along those lines, then zealous may be necessary. The best way to judge whether to use zealous or something else is just to play the character a bit with some other kind of daggers and see if you're running out of energy a lot.
Usually, I start off with vampiric daggers (or ebon against warriors), then switch to zealous if I'm getting low on energy. Your job is to kill people, so try to put out as much damage as possible, only using zealous when energy is going to be an issue.
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