Since I work with the FAA on a daily basis, let me clear up a couple of errors in the previous explanations:

Z is used to denote an Air Route Traffic Control Center. These centers control plane 'enroute'. That is once they leave an air terminal. Z is the first letter followed by two letter approximating the location. ZAN is the ARTCC for Anchorage, ZOA is Oakland, etc.

N and W are used for airports. I see some confusion above with radio call signs which are, of course, completely different. Some examples from Alaska:

WNA = Napakiak
WRG = Wrangell
NLG = Nelson Lagoon
NIB = Nikolai

and I invite any of you to come up here and visit any of these lovely airports...

Glenn