The 46-year-old has taken the Hornets to the brink of a £120million pay-day after a dramatic semi-final victory over Leicester, secured in stoppage time after a penalty save from Manuel Almunia was followed by a last-gasp Troy Deeney winner as Vicarage Road was sent into bedlam - and saw their boss take a tumble as he ran on the pitch during the celebrations.
Zola, who returned to management last year having been sacked by West Ham in the summer of 2010, enjoyed a glittering playing career both in his native Italy and with Chelsea, where he won the FA Cup twice as well as the European Cup Winners' Cup in 1998.
However, the Hornets boss insists those experiences will be put in the shade if his side can triumph at Wembley on Monday afternoon.
"As a footballer, you feel you played at different venues in important games, and you think that you lived all the experiences in football, the good and bad ones, but as a manager it amplifies everything - that is what happened to me against Leicester, I went back 20 years. Fortunately for me it was a good feeling, and that was great," said Zola.
"I have been blessed to have enjoyed a fantastic career, with some very good moments, but to win this one would have it rated as one of the best because of everything you go through as a manager. You take in every player's emotion, positive and not positive so you live everything.
"Winning this game will be one of the most important (of my) achievements.
"As a manager, everything is multiplied, so if it happens, then it is going to be amazing and I am sure I will celebrate the same way I celebrated when we won the first FA Cup with Chelsea at Wembley."
Despite the huge financial rewards on offer for the winners, and just how it would transform the economic outlook of the Hertfordshire club, Zola insists there have been no nerves within the squad, which has been away for some warm weather training in Spain.
The Watford boss, who expects to have a near full-strength squad to choose from against Palace, will take the group for a behind-the-scenes look at the national stadium to settle them in ahead of the big day.
"I just want them to get accustomed to it - the first time I went to Wembley, I got lost in the changing rooms. It is quite complicated and you need a GPS," Zola said.
"I just want them to feel confident in the new surroundings. It is quite impressive Wembley, and they need to feel comfortable where they are going to be."
Watford are currently under a transfer embargo relating to irregularities under the club's previous owners, and have also been criticised for their extensive use of the loan market, bringing in many players from sister clubs Udinese and Granada, which are also owned by the Pozzo family.
Palace boss Ian Holloway had labelled the situation "ludicrous", but this week moved to calm the waters ahead of Monday's showdown, praising Zola as a "genius" for bringing it all together.
Zola hopes Watford's style will be what people are talking about come full-time at Wembley on Monday night.
"I know that we have been called many things, but the best one I remember is we are a very good passing team which plays football. That is the best encouragement and comment that I have had and that is what I came here for," he said.
"Our plan for this season was to play football in a certain way, not to (specifically) achieve promotion, we wanted to establish our philosophy to become a passing team of offensive football, and that is what we have become.
"I understand there have been a lot of comments because of our (financial) status, but that has been clarified and I don't think that is going to happen (again) next year, the majority of players we have on loan will be our players, and that will stop everything.
"I can understand all the comments that have been made, but it is time to move on."