The value of the car doesn't seem to affect the insurance rates as much as the class of vehicle. My 6 year old pick up (value maybe $9K?) cost more to insure than a new minivan ($26K). Also on a car as old as a Z chances are you will not get "full coverage" anyway. So for collison only the cost of your car is not a factor.
I think an early Z would make a great first car. They are fun to drive, easy to work on and parts are still available. But 20+ year old cars need work to keep running. No way around that. Might want to think about the reliability issue before you buy one. A Z would be an excellent car to learn auto mechanics on, but keep in mind there could be some inconvienent down time and expense.
Insurance discounts for air bags, antilock brakes etc are more a sales gimmick than a real money saver. Call around to a bunch of insurance companies and go with whoever gives you the best rates. It has been my experience that the cut rate places don't care about such things.
Also not to start a flame war but I have a very low opinion of air bags. Those things were mandated for cars simply to save the lives of people too ignorant to wear seat belts. Modern cars are better designed in terms of crumple zones, bumpers, door guards etc. But if it were up to me I would never buy a car with air bags of any type.