This site proposes different formats for the Zend Framework documentation: HTML, CHM, PDF. All of these formats integrate: table of contents (or bookmarks) and syntax highlighting. You can find all of them at http://doczf.mikaelkael.fr/
Discussions are in progress to integrate these formats in official site, but no solution exists for the moment. See (and vote) this issue for example to integrate CHM version.
If you are using Microsoft Internet Explorer under Windows XP SP2 or later and you are going to download in CHM format, you should « unblock » the file after downloading it, by right-clicking on it and selecting the properties menu item. Then click on the ‘Unblock’ button. Failing to do this may lead to errors in the visualization of the file, due to a Microsoft bug.