As a part time information architect, I find Zappos' search structure and filters highly annoying and arbitrary. I'm very surprised that such a large, popular company can't seem to address this problem better. There is no reason you should have to set one set of filters before setting another, unless they are intertwined in some way.
I also don't find their filters very reliable. I get the sense that a lot of their stock just seems to just slip through. For example, I could be searching for 2" heeled boots and only find a dozen or so results--yet I know for a fact that there are several 2" heeled boots that aren't being shown.
I only shop there when I have a very specific idea of what I want, or what brand I want to shop by. If I'm just browsing more generally, Endless is much more user friendly (though still not perfect).
