If you wanna get a feel for them (sizewize and whatnot) I suggest hitting up Best Buy, Circuit City, CompUSA, etc. And also the people there do tend to know something you didn't from time to time. But don't buy from them, you can always find them for less online (retail box stores have much higher operating costs than a web-only front).
iPod-
Highs-Crapload of accessories, 10x more than any other player, not exaggerating either. Cool factor. Interface is great. Good battery life, size, capacity, and price.
Lows-Lack of built-in features like FM Tuner, Voice Recorder. Battery only replacable by Apple for $100+shipping+labor. Bad for people who hate being trendy. Doesn't play WMAs.
Other notes-iTunes is not mandatory; several third party methods will allow you to send songs to the unit, WinAmp has a plugin.
The Zen counters almost every low point of the ipod. It's interface is a bit lacking, and the trendy cool factor isnt there. And according to another poster, better sound quality (but some people are too friggin particular about some things, it'd take an extremely scrutinous audiophile to notice the difference).
So if accessories, interface, and cool factor are more important, go ipod. If you just want a good player for the price, go Zen Micro.