You can pull off intersecting geometry provided that all the parts are water tight or close to it. Software such as Netfabb can be used to examine and correct stl and obj files. [link]
I prefer to Boolean all the parts before hand and ensure none on the mesh self intersects before trying to print.
In the case of the minion, I was doing a rather quick sculpt and pondered doing all the clothes as separate objects but as time was a factor I went for a single object. That and I had never directly taken a zbrush obj and tried to print it. Here I did some decimation first before placing the file in a paid version of Netfabb made to work with the Ultimaker Printer directly.
The nice part with zbrush is being able to combine meshes, remesh, then decimate offers a lot of potential.