Step 1: Understand the given condition.
The set is defined as:
\[
\{x : x \text{ is an integer and } x^2 \le 4\}
\]
Step 2: Solve the inequality.
\[
x^2 \le 4 \Rightarrow -2 \le x \le 2
\]
Step 3: List all integers satisfying the condition.
The integers between \(-2\) and \(2\), inclusive, are:
\[
-2,\; -1,\; 0,\; 1,\; 2
\]
Step 4: Write the set in roster form.
\[
Z = \{-2, -1, 0, 1, 2\}
\]
Thus, the correct option is \(\boxed{\{-2, -1, 0, 1, 2\}}\).