While other suggestions are, in my opinion, better, you will find that zsh will allow you to put shebang-powered scripts in the shebang line. The kernel execve call will fail, but zsh will pick up the pieces.
Just another reason that zsh is the bee's knees!
But that will work only from within zsh. If you want to run such a script from somewhere else (like as a CGI script, or maybe during the init scripts which are usually executed by a more lightweight sh), you still need one of the other solutions.