All act bosses from act 2 mightmare on can drop a HoZ. However, only nightmare Mephisto, hell Andariel with her bugged drop and hell Mephisto are worth it IMO, as it takes too long to reach and kill the others.
Drop chances (0%MF, 1 player game):
Hell Andariel 1st drop: 1 in 6523
Hell Mephisto: 1 in 7095
Nightmare Mephisto: 1 in 8500
The relations of these numbers don't change much if you have a MF bonus. However, Andarial might become better to a greater extent in games with more than 1 player.
To my taste, hell Mephisto is best because you can reach him far quicker than Andariel and he drops lots of other good stuff as well. He is also safer to kill if you lure him to the moat and go to the other side, to shoot him from a safe distance (a.k.a. the moat trick, see the sorc forum for further details).
The numbers come from the builtin drop calculator of ATMA (single player muling progrem). The link is found in my sig.