The zip code entry at Gas Stations is supposedly an added security measure
That if the card is stolen, the thieves would not know the proper zip code to enter.
I read something about it in local newspaper a while back. The measure was intruduced after some car hi-jack/murder cases - the criminals used the victims cards crossing several states - the clues led police traced the criminals footsteps and finally caught them. From those cases, supposedly, the zip code entry is being invented to prevent fraudulent usages, in the general pattern that using stolen cards at gas pumps tend to be the first few usages of a stolen card (test water).