Using an input/output capacitor with a linear regulator is good practice (Capacitor Sizes for 7805 Regulator). You can check the datasheet to make sure there aren't stability issues with capacitors with low ESR or high capacitance values (Choosing capacitors for a linear voltage regulator).
Filtering for noise is a whole discussion that would require more information about what you are seeing and how you are measuring the noise. You want to make sure you know if the noise is "real" or not. Common mode rejection and the ground clip lead loop are common sources of false noise.
Instead of using a zener to clip the voltage, you could employ a voltage divider that scales the output from 0-5V to 0-3.3V instead (137kohm & 267kohm: http://www.ti.com/download/kbase/volt/volt_div3.htm).
The optional buffer amplifieropamp reduces the loading on the divider and makes the measurement more accurate.