I prefer a middle ground, in which entries from multiple sessions are interleaved in the history file, but individual in-memory histories don't reflect what happened in other sessions in the meantime.

For future reference, I use the following Zsh history options:

  setopt incappendhistory
  setopt extendedhistory
  setopt histignorespace
  setopt histignoredups

I think what would be slickest is if up-arrow and down-arrow navigate local history, but history-search would navigate all history... I wonder if I can make it do that.