A z-score measures how many standard deviations an observation is from the mean. Z-scores with a mean of 0 and standard deviation of 1 follow the standard normal distribution. If an observation has a z-score of 1.96, then the area under the normal curve to the right of 1.96 is 0.025, meaning the probability of observing a value at least that extreme is 2.5% if the distribution is standard normal.