I am one of those consumers that says no to most questions at the end of the transaction. No to rewards card. No to email receipt. No to phone number. And, no to zip code. Basically, I've come to the conclusion, and it is just my personal belief, that the company or the store is not asking these questions to help me.
Now, I've come to find out that I was right at least as applied to the zip code question. Rather then gathering data to figure out where to locate the next store, stores are gathering data on you. Take your zip code and your name (gathered from your credit card or debit card) and they can track you down to send you catalogs and other unwanted marketing material.