My photos of wildlife are always taken in the wild. I appreciate the conservation work that some zoos do - but I will never visit them. To me - seeing an animal in its natural habitat, free to roam and looking healthy is the best thrill.
I have only recently started photography. I will always watch with the naked eye first, then have a look with my binoculars and then, if there is time and I'm not stressing the subject, raise the camera - usually just as it flies or walks away!