Preferences in caves are personal taste and the zebras' too.
But keep in mind on being able to keep an eye on your zebras too because you want to make sure you can observe their behavior in case they show any signs of illness or you may get lucky and witness any courting in your tank
I had too much driftwood in mine in my first layout and ended up never seeing my zebras. I'll get a post of my new tank setup soon.. just procrastinating
You could try slate of different sizes and using smooth top rocks or something similar to give the caves height and make multiple mini levels. I think there's a member here with a really good slate setup but I can't their pic.
Caves can be made out of many different materials, a search for the word 'caves' brings up a lot of useful information. But use what you like, this is your tank, have fun with it

If someone could get zebras spawning inside a pirate ship decor...well kudos and that's something very kinky there for the zebras (J/K!!!)

hehe!