zeerum,
In a simple Zener shunt regulator, there are 2 current paths; part of the input current flows thru the zener, and the rest flows thru the load. As the load current decreases to zero, all of the current flows thru the Zener. Suppose the maximum load current is 1 ampere. Then under no-load conditions, 1 ampere must flow thru the zener. If the Zener is a 10 volt device, then the Zener dissipation at no load will be 10W.
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In the transistor circuit you have shown, let's assume that the load requirements are the same as above. Let's further assume that the Beta (Hfe) of the transistor is 100. All the shunt regulator consisting of R and the zener has to supply is the base current. Under maximum load conditions, the base current = 1/100 = .01 Amperes. The shunt regulator consisting of the Zener and R only have to supply the base current. The Zener can be a low powered device. The Zener dissipation at no load will only be 0.1W (.01A A 10V). You don't get something for nothing, however. In this circuit, the transistor will have to dissipate power. If the unregulated voltage is 12V, then the transistor dissipation at full load would be (12-10) X 1A = 2 W. The transistor dissipation at no load would be close to zero.
Regards,
Kral