Step 1: Understanding the Concept
A Zener diode holds a nearly constant voltage across it when it is reverse biased in the breakdown region.
Step 2: Detailed Explanation
To hold the load voltage constant, the Zener is connected in parallel with the load, and it works in reverse bias at its breakdown (Zener) voltage. A series resistor limits the current.
So it is in reverse bias and parallel with the load.
Final Answer:
The Zener is connected in reverse bias, in parallel with the load, option (D).
\[ \boxed{\text{Reverse bias, parallel (D)}} \]