I always thought heat-only thermostats needed only two wires (red and white), until this week when I decided to switch from my old school round Honeywell T-26 thermostat to digital programmable thermostats. Off to Home Depot to buy some Honeywell RTH2300B Digital Programmable 5-2 Day Thermostats. After installing one I discovered that it called for heat but never shut it off. That's because the thermostats I bought lack support for the third wire (B, blue) on my Honeywell V2008A zone valves, the wire that closes the valve. In fact, I couldn't find any thermostats at Home Depot or Lowes that supported the third wire. So, I contacted a local HVAC wholesaler and discovered that most of the thermostats that support 3-wire zone valves are quite expensive, about twice as much as the ones I bought at Home Depot.
After analyzing the zone valves and the thermostats with my multimeter I discovered that it might be possible to make the 2-wire thermostats control the 3-wire zone valves if I added a 24vac SPDT relay into the mix. After calling around to local HVAC suppliers I discovered that these things are actually pretty cheap. I paid less than $10 for a Mars 90293 24vac SPDT relay.
After installing the relays between my thermostats and zone valves everything works great! Here's my wiring diagram and some pictures.