Zend is almost universal but some other programs like eAccelerator may or may not be.
Some of the "caching" programs which produce notably faster performance on some sites (usually forums & such) also use more RAM and mainly more CPU "holding" the cache.
Thus depending on what you are running in theory you might not get better performance on a shared environment if too many sites were using those "cache" functions compared to the server's capacity to handle them. In a "perfect" situation you would, but in others you could get better performance without them. So as said ask the host for what you want and what you plan on doing with it.
Also note that because of this some hosts that have Zend for example, may have it for PHP encoding purposes but not allow "caching" operations. Several variables to ask about before "assuming" anything.
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