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Make the marinade a couple of hours and up to one day ahead of time. Whisk together the extra virgin olive oil, lemon juice and zest, and the remaining marinade ingredients (only add the cayenne if you want spicy wings).
Now add the chicken wings and toss to coat the wings evenly. Cover and refrigerate for a couple of hours or overnight.
Preheat the oven to 400 degrees F. Spread the chicken wings on a large baking sheet and bake in the heated oven for 45-50 minutes or till ready (internal temperature should register at least 165 degrees F). Move the chicken wings to the top rack and broil briefly until the skin turns golden brown and crispy. Remove from heat and let sit 5 minutes or so.
If serving with tzataziki sauce, make the Tzatziki sauce according to this recipe, while the chicken wings are baking. Transfer the sauce serving bowl, and cover the sauce and refrigerate until ready for use (just give the sauce a little stir just before serving).
Transfer the chicken wings to a serving bowl or platter. Garnish with feta cheese, lemon slices, and a generous sprinkle of fresh parsley. Serve with the Greek Tzatziki sauce. Enjoy!