What is the purpose of transistor in this circuit?
If the load requires high current and it is attached directly to the zener then resistor R must be very low because all the load current must pass through it. The result is the current through the zener will also be quite high, making it hot and/or requiring a high wattage zener (for extra money).

Adding the transistor separates the zener current from the load current. So resistor R can be high, zener power can be low, and the heat becomes the problem of the transistor, not the zener.