In addition to being a skilled sorcerer (more about that here), Zelgadiss is also an accomplished swordsman. On one occasion, when he had saved Lina from an enemy by throwing his sword past her, she mistook him for being Gourry due to his daring accuracy. He can certainly hold his own in a sword-fight and he also is known for carrying numerous enchanted daggers with him, using them to catch his opponents off-guard. He certainly isn't as honour-bound as Gourry is, but their skill is still comparable.

Zelgadiss is also highly intelligent and calculating; he's often the only other one after Lina to piece together a situation by observing current events and rarely seems to lose his cool. His assumptions are usually right, regardless how cynical they might be at times and he's an extremely good strategist. He can often form excellent plans of action quickly, which has helped him in the midst of battle many a time. On more than one occasion, he is seen as acting out rashly without any thought but it's always revealed that he's had some sort of trick up his sleeve.

In the anime, since Zelgadiss makes more appearances than he does in the novels, he is given a bit more character development. He is made out to be quite an artist, having a skilled hand at sculpting and in playing the guitar (the song he plays, Sasurai, can be downloaded here). We also see him being fairly proficient with a gun and being skilled in cartography and lock-picking. None of these things really clash with his character in the novels, and it's fun to see Zelgadiss' range of talents being explored.