While Louis` solution is perfectly good and perhaps the simplest, I would like to point out that the expression inside Text does not have to be a String, You could use a Row construction to compose and format any kind of line using String and non-String elements.
{Slider[Dynamic[z], {0, 1}],
Dynamic@Text[
Style[Row[{"z:", Spacer[5], PaddedForm[N[z], {6, 4}]}], 16, Bold]]}