Low voltage/current power supply for wide range of inputs
In order for the zener to "clamp" your voltage at your desired output voltage it will have to burn the excess voltage and dissipate that power. There is no way around that.

What you are trying to accomplish seems to be based on an LDO -- or a linear regulator. The biggest problems with LDO's are: 1. efficiency 2. power/heat dissipation. In many cases the current/power requirements of the load are small enough that the second one is not an issue and the first is often not an issue in non-battery powered systems. This is why LDOs are cheap and popular.

Generally speaking when you are going from such a wide range to a specific target you would use a DC/DC switching regulator in a Buck/Buck-Boost or Sepic configuration.

EDIT: I'm using LDO and Linear Regulator interchangeably here, but I really mean linear regulator. LDO is a special kind of a linear regulator.