You shouldn't have to enter the zone for this to work, only thing I see which might be wrong with it is looping back to state=0,you got three colons in the line, it should simply be:
:state=0,always:ambience=3,ambiencered=25,ambiencegreen=25,ambienceblue=155
If you only want this to work when you enter the zone, remove ',always' and use plrinzone=:
:state=0,plrinzone=1:state=1,ambience=3,ambiencered=25,ambiencegreen=25,ambienceblue=155
:state=1,plrinzone=0:state=0
Use FPI editpad (at top of this board) it will help you with spotting these kind of errors, I use it all the time and find it invaluable.
Awesome! Its one of those threads.