Pronounced: “zeta” (thetah).
This sound is typical of Castilian Spanish, but not heard or spoken in the vast majority of Latin or South America, where it is pronounced like an “-s”.
Legend has it the sound originated from a lispy king, but it’s not true. It’s not a lisp. There’s no mispronunciation of the “s”. Just think of the zeta as the letter for “th” used with more frequency, not as a speech impediment.
The letter came from linguistic evolution and the merger of “ç”/ts/, as in “plaça”, and the z /dz/, another variant of the “s” sound, during the 16th Century.