Heh, I killed Zelos out lack of knowledge. I was bored because my mom took away my GCN for a while, so I looked at strategy guides online and it's like, "You can now talk to one of three characters. These will come in the order of the ones that like you the most, blah, blah, if you reject them all Lloyd will have a talk with Kratos. And I'm like, "Cool, Kratos, fun."
Then I played later on, fight with Angel Zelos, stab him, he dies.