All exceptions thrown by Zend Framework classes should throw an exception that derives from the base class Zend_Exception.

<?php

try {
    Zend_Loader::loadClass('nonexistantclass');
} catch (Zend_Exception $e) {
    echo "Caught exception: " . get_class($e) . "\n";
    echo "Message: " . $e->getMessage() . "\n";
    // other code to recover from the failure.
}

?>

See the documentation for each respective Zend Framework component for more specific information on which methods throw exceptions, the circumstances for the exceptions, and which exception classes derive from Zend_Exception.