The Mazoku
At first, the basic setup of the Slayers universe can be a bit hard to follow. So, in an effort to sort out at least a little of the confusion, this section will attempt to explain the Mazoku, their hierarchy, and their individual lords. (And of course, clear any confusion about Zellas-sama's position in the process.)
First and foremost, The Lord of Nightmares is the creator of the Slayers universe. She is the all-powerful supreme being. God. Or in this case, Goddess. She is the source of all chaos, she who has dreamed for years uncounted of regaining her true form, etc, etc.
The Lord of Nightmares (or L-sama) created four different worlds. On each world, She placed one Demon God (Mazoku), and one Dragon God (Ryuuzoku). The Mazoku Gods were known as Dark Star, Death Fog, Chaotic Blue, and Ruby-Eyed Shabrinigdo. Dark Star's nemesis Ryuuzoku is called Vorfied, and the names of Chaotic Blue and Death Fog's nemeses are not known. Shabrinigdo, the Mazoku God of the Slayers world, is enemies with the Ryuuzoku God Cephied.
Shabrinigdo created five lesser mazoku lords to serve him: Maryuuou Garv, also known as Gaav depending on whom you talk to. Haou Dynast Grausherra, Kaiou Deep Sea Dolphin, Meiou Hell Master Phibrizo (who takes on the deceptive form of a young boy), and of course, Juuou Greater Beast Zellas Metallium.
(For the Japanese clueless, or at the very least, the under-educated Slayers fans, here are translations:
Maryuuou: Demon Dragon King
Haou: High King
Kaiou: Sea King
Meiou: Hell King
Juuou: Beast King)
Each of the five lords has a general and a priest to do their bidding, with the exception of Zellas and Dynast. Zellas has Xelloss filling up both positions, which gives Xelloss double the power of any other General or Priest of the same rank, while Dynast has two of each: his priests are named Grau and Grou, and his Generals are Sherra and Nost.
And both last and least, we have all the minor Mazoku. The troublemakers with delusions of grandeur, who more often than not end up on the wrong side of a Dragon Slave or Xelloss's staff. Most are in the service of a higher-ranking Mazoku.
And there we have the Mazoku Hierarchy!