In the first film, Zurg is a referenced character, and does not appear at all. He is simply a character mentioned by Buzz Lightyear, his sworn enemy. Buzz claims that Zurg is building a powerful weapon that could annihilate an entire planet and that he is the only one that could possibly stop him.
Zurg is first seen in the opening sequence of the second film when Buzz is trying to take his power away from him (Zurg's power is from a AA battery). In the ensuing battle, Zurg vaporizes the top half of Buzz Lightyear's body. The sequence then cuts showing that the opening sequence was a video game played by Rex. As the story progresses, a Zurg toy in Al's Toy Barn bursts out from its box and follows Andy's Buzz Lightyear, who is on the way to rescue Woody from Al McWhiggin. Zurg is deluded in the way the world works similar to Andy's Buzz in the first film. In the second film, another copy of Buzz Lightyear, who also acts similar to Buzz in the first film, escapes from Al's Toy Barn and battles with Zurg using toy components (pin balls and lights). In a reference to the relationship of Luke Skywalker and Darth Vader, the principal hero and villain respectively of the original Star Wars Trilogy, Evil Emperor Zurg claims he is in fact the father of Buzz. As Zurg attempts to finish Buzz #2 (at point-blank range), Rex accidentally hits Zurg with his large tail, sending him falling down the elevator shaft. The second Buzz then looks over the shaft and reaches his hand out,thinking he has lost his father, while Rex is excited that he has finally managed to defeat Zurg. Near the end of the film, Zurg is seen to have survived his fall and is now playing catch with the Buzz copy, meaning they have made up and become friends. The second Buzz Lightyear then says, "Oh, you're a great dad!" as he rushes to catch another ball fired by Zurg
In Toy Story 3, Zurg has a brief cameo during a sequence in the end credits, where he is donated to Sunnyside Daycare center. He must have turned good because at the very end, he does the robot dance when everybody was at the disco.