Preheat oven to 250 degrees F.
Grease a large rectangular glass dish (somewhere around 13x9 inch or 12x9 inch) with butter or spray with butter flavor cooking spray.
Process the nuts so that they are very finely chopped, then toss nuts with the cinnamon and sugar.
In a small saucepan, melt the 4 tablespoons of butter, then stir in the honey and heat just until warm. Remove from heat. Stir in either the vanilla or the combination of zests.
Spray a large baking sheet with cooking spray. The baking sheet will be your rolling surface, but you will be baking the baklava in the dish.
Carefully lay one sheet of phyllo dough on the sprayed baking sheet and pat it with some of the melted honey & butter mixture, brushing gently. If it breaks or tears a little, don't worry. Lay a second sheet on top. Give it a spritz of cooking spray, then pat and brush on more of the honey mixture.
Leaving about an inch margin from the 9 inch end, sprinkle about 2 tablespoons of the nut mixture evenly over the sheet. Starting at the 9 inch end, roll into a cylinder. Carefully transfer the roll to the glass baking dish.
Repeat this process using the remaining ingredients, laying your rolls of baklava next to each other lengthwise in the dish.
Once the dish is filled, carefully score with a knife to make 20 pieces. Give a quick spray with cooking spray or brush with any residual honey sauce, then bake uncovered, at 250 for about 40 minutes. At 30 minutes, start watching as they may start to brown.
If after 40 minutes the baklava is not brown enough for you (it never is for me), bump the heat up to 350 and set the timer for 5 minutes so that the timer is going while the heat is still rising. After 5 minutes it should definitely be browning a bit, so just keep watching it for another 2 minutes or so until you're happy with the level of browning.
Remove from oven and brush with a little more warm honey. Let cool. The top layers will become slightly crispier as they cool.