You maybe aware of the mission strand given by Devin Weston where he gives you the task of stealing 5 different cars for his collection (Cheetah, Entity XF, JB700 and the Z-Type [Lamar steals the Monroe]).
During "Eye In The Sky" you must use the LSPD scanner on a police Maverick and use it to find Chad Mulligan (the Z-Type owner) and retrieve the car from him.
To own the Z-Type, do the mission normally until you get the car from Mulligan. Once you have the car, take the car to the airport (remember to kill Mulligan as otherwise he will call the police) and wait for the cut scene to end. When it tells you to leave the airport, make Devin's plane explode and press the do not try again button.
You will then spawn in front of the airport arrivals as if you just got off the plane. The Z-Type will then be parked for you to drive off and keep. The mission can be used to get multiple Z-Type's if you keep doing this, I have one per character.
Go to this thread for methods to get other expensive/rare cars: