In my expierience, the Zen is the way to go if you want portable (MP3) music. It's cheaper, easily updated, just as good as the iPod, etc.
The iPod, however, has the video and micro incarnations. Since i haven't tried a Zen MP3 player except for the Mp3 music, I can't compare.
If you're looking for strictly musi, go with the Zen. If you're looking for a more expensive, perhaps more functional deice, look into the iPods or high-end Zens.