I have two zones in my house and both have programmable thermostats. The temp in the house is set to 18 degrees while I am at work all day, and when I return it is programmed to 21 degrees. When I return home should I program both thermostats to come on at the same time since the furnace is on anyway for one thermostat.
Like Ecnerwal says in the comments, it probably doesn't matter much, but knowing more about your system and climate would help -- recovery time would be very different if the ambient temperature is zero or 15 degrees. Depending on your system, if only one zone is calling for heat, it may come up to temperature a bit faster than if two are (especially if it's a forced hot air system); if one zone is more important to be warm when you return, set that one to come on first.
More importantly, you might consider whether you need both zones at 21 when you return -- perhaps one zone could stay cooler until later in the evening; the savings from delaying that increase will probably be more than any difference in how you raise both zones.