Stress zyme accomplishes something that you can do on your own with good tank care and maintenance. My experience is that it's not terribly effective, either.
Stress coat accomplishes something that you can't do yourself, which is remove harmful trace chemicals from your water supply so it doesn't poison your fish. It also can help with production of slime coat, healing damaged fins or sores, and supposedly reduces fish stress by 40% (i'm not sure how that last one was verified).
You need a water conditioner (such as stress coat), you don't NEED stress zyme.