We provide our PDFs in a zip format as an artifact of our watermarking process (and is the standard for all downloads on paizo.com). Safari is not intended to be used to download .zip files. You can use an application that can unpack the files (such as GoodReader, which is a paid application that doubles as a reader application, though there are a number of free applications out there). You can also check this thread for more information.
Chief Technical Officer
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Actually, zip files aren't an artifact, they're a necessity. Many electronic products are collections of multiple files, so we have to package them up somehow, and zipping is the solution that works the best with the most platforms.
When we first started offering PDFs, we didn't zip up single PDFs, but it turns out that many people get confused when they click on a link to a PDF and it opens in their browser (often by way of an Adobe Reader plugin they didn't know they had installed). Zipping single PDFs solved a lot of customer confusion issues.