With custom becoming more and more legal, I think I'll begin sharing my thoughts on DHD's here now too.
Zigzag actually is much deeper and more versatile than I originally gave it credit for. Mainly due to the fact you control when it will hit, and it doesn't disappear on shields.
This means it can actually sit inside an opponents shield, waiting for a shield drop, frame trap for a grab, or force a roll which you can read. In the case of the first two, they both enable combos and even kill set-ups. (Getting a grab while the can was inside the opponents shield, let's you up/downthrow and shoot the can, hitting them and letting you combo off that)
Not only that, but in the case you fail in any of these, either by way of them counter attacking, or failing to read, the can either hits them from their stationary position, or returns to you, further protecting you from being rushed down.
It's actually good at mid-range against most characters since it can be shot so soon for this reason.
However, it almost completely overshadow default gunmen due to accomplishing the same job with better results, along with other jobs too.
In my experience, mega gunmen provides the best synergy with zigzag due to the snare effect they create. Both in the neutral, and whenever pressuring an aerial enemy with zigzag, you can throw mega out.
Of course, quick gunmen is in general an amazing projectile on it's own, and does have decent synergy with zigzag, letting you shoot it with a nice, slow, lingering arc from afar immediately.
I'd say it comes down to matchup/stage which to use.
It's a much better edgeguard, able to catch air dodges, can switch between a low and high recovery edgeguard, and has less high and strong knockback, letting it actually gimp more effectively when it doesn't knock them in. (And when it does, it's usually death anyway as we can combo off it)
Speaking of combos, I'm not certain, but it seems like instead of fthrow > dash attack/fair, we can do fthrow > zigzag > upsmash/nair with proper timing.
Edit: Actually, default gunmen might be a good combo for zigzag... You need to short hop the gunmen to get a consistent and usable snare, but it seems pretty good. There's a lot more erratic and versatile movement going on than with mega or quick + zigzag.
In a lot of matchups though, mega will be needed to ensure we can even set up. And I'm also fond of the quick gunmen combos, but I think I may have overlooked defaults "best of both worlds" qualities a bit much.
Edit2: HOLY CRAP BIG STUFF
If you grab someone while zigzag is in their shield (really freaking easy) it can be a kill combo by upthrowing into zigzag can being mashed super fast.
Not only that, around mid to high percents when this won't kill, and you just want more damage... You can just mash the can and it will do up to 40%
Don't throw, just mash the can. It will break the grab and do way more damage than any combo at that percent.
(It seems to more consistently kill when upthrown into, since the blast will register on them while they're higher up.)
It seems less consistent at lower percents, however down/back/fthrow > zigzag > aerial works very reliably due to their low percent and still low knockback. On some characters, this seems like a very easy 60+% at lower percents with some luck on the position of the can in regards to their di, and their size/fall speed. Generally though it seems to do about as much as it does at higher percents by just mashing.
Due to this, I think the best set would be one focused on getting this and similar grab combos, and getting the most use of zigzag out. (to the point you always want it out)
Despite my earlier claims mega gunmen worked best with zigzag, that was under the assumption of making DHD balanced and all-encompassing. I think default gunmen with it's further grab frame trapping synergy, and ability to lock down the area zigzag doesn't cover more immediately but still with linger, and then shoot zigzag itself for a nice, slow arc is very helpful.
Rising clay also offers superb control of the zigzag can, and feels a lot more fluid when pressuring.
You can zigzag, and immediately smash toss rising clay. This will not only cover the exact trajectory zigzag did not, ending at the same place, AND THEN hitting zigzag forward at a nice, slow, lingering trajectory (perfect for edgeguarding with, also better trajectory for pressuring platforms) but if you get the hit confirm with rising clay, you can have zigzag come in and combo off of it, usually hitting them in.
Also, if this happens inside their shield, zigzag stays inside of it. Furthermore, it sets up for a similar auto combo that grabs due for zigzag if zigzag is already out.
A soft toss however, can catch a roll in or jump in from zigzag, and also let zigzag combo off it.
Even more liberating is how little the projectiles contradict.
You can shoot the can while clay is out, since rising clay can't be shot.
Rising clay generally goes way too fast, way too low/high, or just plain doesn't care when it's shot by the gunmen.
Since you control when the can detonates, and the shots do not hurt you, this means opponents hitting the can back at the gunmen will not result in an explosion. Letting the gunmen + can set-up be much safer.
Also, when edgeguarding, rising and zigzag both cover the most ground of any projectile combination, but also the most radical effect. Since if either hits, the other can too. Resulting in HUGE damage, or even death.
I just started testing this set: 3221
But it feels by far the most fluid. It's to the point I don't even notice how much damage I'm racking on the opponent at times. I've easily gotten people to 180% within the first minute.
The mash takes some getting used to, both the timing, situations, the presence of mind to capitalize on it when they fall out of the auto combo for you to combo off anyway.
A few downsides to zigzag:
The time between it's flash and explosion isn't enough to actually help protect you, you'll need to get used to when it will explode and stay away from it.
The time between it just got hit by a normal attack and can be shot again (or "hitstun") is much longer than the default, to the point hitting this can is likely a legitimate way to seal it.
Due to it's radical movement, there isn't much to camp behind. None of the customs offer as effective a wall as the default trick shot. (However, that isn't to say it doesn't provide defense, it's just it takes more of a supporting role)