A state of being in which one is focused on the activity at hand to the exclusion of all other unnecessary sensory input. When you are in The Zone, you are most likely performing at your best. The Zone is kind of like The Flame and the Void in The Wheel of Time.
For a musician, being in The Zone means being one with the music and with the instrument. You _are_ the music. You feel every vibration, you hear every nuance, you fit perfectly with everything. It is sheer aesthetic pleasure, aural bliss, and transcendental state all in one. Words cannot fully describe it. You must listen to the music.