Zei

"The people of Xiansai worship fifty-nine gods, but few are more revered than Zei, the exiled trickster god who travels the face of the world, disguised as a humble merchant. Tales of his adventures range from ingenious thefts and practical jokes to more... lurid exploits, none of which I am comfortable recording here."

- Abd al-Hazir

Zei the Trickster was a legendary thief and later god in the Xian pantheon.

Becoming Mortal
Even though Zei was the greatest thief in the world, his skill unmatched, he desired to claim his greatest victory: to steal from Dirgest, the demon god of desire. The thief aimed to take what the god valued most: his wife Liria, goddess of the second moon in the sky. Even though she was hidden high in the heavens by Dirgest's jealousy, Zei waited patiently for an opportunity to claim her. Since Dirgest could not keep Liria at his side at night, the thief climbed silently into her heavenly palace when Liria's path was behind the Silver Moon (the one she did not personify).

Zei easily charmed her: Liria was lonely, and Zei was full of life. Zei did not do this out of love, though, for he merely wanted to be known in legends as the one who stole from a god. The two spent a perfect night together, and when Liria woke up at dawn, the only reminder of Zei's presence was a gift: a precious ruby on her neck. Zei's conscience was calm for taunting Dirgest: he rather felt proud. However, Dirgest, enraged and shamed, decided not to take away Zei's life, but instead took his joy by killing everyone Zei had ever held dear, and in the end, slew Liria.

Zei eventually defeated Dirgest, trapping the demon in the very same ruby Liria once wore, and taking his place as one of the Xiansai gods. He carried the gemstone as an eternal reminder of what has happened. However, as the ruby was flawed, it allowed Dirgest to drain life out of the wearer. In the end, Zei could not bear this burden anymore, and cast off his divinity, becoming mortal once again, eventually turning into an old man.

Some legends say Zei also crafted a special gem to torment fleeing enemies, while other legends claim he never even existed.

Unearthed Ruins
After Covetous Shen finished telling the tale about Zei, he asked the Nephalem to accompany him to Unearthed Ruins to find the famed jewel imprisoning the soul of Dirgest. During this journey, the Nephalem actually had a chance to see for themselves that the legend was at least partially true: the jewel's room was real, as was its guardian Vekriss. The jewel, however, was found shattered.

Upon defeating the demon, Liria's imprisoned spirit was liberated, and (like Vekriss) she asked if Shen was Zei returned. Shen, his voice sounding nothing like usual, replied that Zei was but a long dead myth, yet he himself, a humble jeweler, was glad to see her face one final time. After Liria passed on to her afterlife, Shen went silent, only saying later that he had to find Dirgest no matter the cost.

In-game
"You try to give a young man some advice, and he assumes you are the Xiansai god of thieves, traveling in disguise as an elderly jeweler! I understand this confusion. Zei and I do share certain features. (...) Well, we both are handsome. Impossibly clever. Adequately bearded. Oh, and handsome! I know I repeat myself, but our sheer beauty should not be understated."

- Covetous Shen

It is implied throughout the Diablo III storyline (mostly by Shen himself) that Shen is Zei, or at least is somewhat related to him. It is not fully revealed, however, even though Liria herself nearly recognized Shen as Zei, and Shen remembered her face. No matter how many times the Nephalem asks Shen about this directly, Shen never gives a direct answer (neither "yes" nor "no").

Zei's Stone of Vengeance is named after Zei (and supposedly crafted by him).

Trivia

 * The name "Zei" is the exact Hanyu Pinyin pronunciation of the Chinese character "賊", which means "thief". The game pronounces it differently though, as "Zai".