New evidence has been found to strengthen the argument that stripes protect zebras from being bitten by insects. Scientists mapped seven wild equine species that varied in their striping. Three species were zebras, with full stripes covering their bodies, one species was the grey African wild ass, which has stripes on its legs but not body, and the other three species were wild Asian horses, which have no stripes. Then, the scientists mapped the ranges of the two major types of flies that bite the equines - tsetse flies and tabanid biting flies. An association was found between areas with the proper environmental conditions for flies to be active for several months of the year and with zebra ranges. Areas with fewer or no biting flies for much of the year overlap with the non-striped equines.
Another map was created to see if zebra ranges overlap with lions, zebra's main predator, but there was much less correlation found.
These biting flies are not simply an annoyance to zebras, but reduce their fitness through transmitting diseases and causing blood and weight loss and reduced milk production. It would be to zebra's evolutionary advantage to have stripes and avoid bug bites, and because flies dislike black-and-white patterns, a zebra's stripes present a good defense.
(The original scientific article is worth checking out if you have free access, to look at the figures: http://www.nature.com/ncomms/2014/140401/ncomms4535/full/ncomms4535.html)
Another interesting tidbit from Wikipedia: "In captivity, crosses between zebras and other (non-zebra) equines have produced several distinct hybrids, including the zebroid, zeedonk, zony, and zorse." I must admit, I got disstracted for quite a while checking out pictures of them.