If you like a really clear and detailed sound with efficient EQ options, I'd suggest the Sony NW-A808. Personally I prefer the warmer fuller sound of the NW-S706, but an equal amount of users (of the 808 and 706) like the crispness of the 808 better. One sounds like vinyl, one like cd - so it depends which sound you prefer.
The 808 has a great screen, and although I never use it to watch videos, it's nice to see bigger artwork after using the 706. I also had the ZVM for a while which has one of the nicest screens I've ever seen, and the transfer times were so fast I felt a bit cheated having used the crap that is SonicStage. The reason I returned the Zen was because I had to have it at almost maximum volume 21/25 to get it to the 'right' level and it would start to distort slightly (with Shure E4 headphones). The volume limiter had had been removed so it wasn't that. It seemed to have trouble driving the headphones I was using but with the CX300s, it was fine - it's just I didn't want to use them with the Zen.
On the Sony I could set the volume at around 17/30 with the Shures, for the same volume, so it didn't distort at all. I prefer the Sony sound overall and with the EQ you can just about make it sound how you want - except you can't make it sound 'warm'.