The idea of rendering in ZBrush is to separate the process into passes. The number of passes depends on what you are trying to achieve and the complexity of your materials. I usually do something like ambient occlusion, specular, diffuse and reflection.
In ZBrush 3.5 we have a very nice feature called "Mask ambient occlusion", which means you can get a clean AO pass in no time, but it only works perfectly if you have pretty high subD levels in your model. When your model or some of the subtools are low on polygons you can use this fake AO technique. It's not as cool as a true AO, but it can also help you to add some info about light and shadows to your diffuse renderings. Just apply any matcap to your model and then lower it's opacity to 0 in the material modifiers. After that, adjust your real-time preview shadows in the rendering palette (Fig.10).
If you have a reflective material you can use new chrome materials in 3.5, or if you need some custom reflections you can use the "reflected map material" option for your reflection pass. Any texture can be loaded into this mat and you'll get your reflections (Fig.11).