So I have briefly looked at this in the past but it came time I had a better look at it. Here is a great page to explain it: http://shreevatsa.wordpress.com/2008/03/30/zshbash-startup-files-loading-order-bashrc-zshrc-etc/
From reading that, I did a quick flow chart to help visialise it. I have used this chart to them make chart of systems I am using to troubleshoot start up issues. The source file for this chart is here: http://www.dward.us/files/bash.dia