i just bought my zen micro this weekend, so i haven't used it much, but i can tell you what i've tried so far.
i was having some issues on getting it to stay "connected" to the computer, but i think i resolved that with new drivers and firmware.
musicmatch jukebox has a plugin available for the micro, but it seemed to be a bit slower than the one from creative. musicmatch also wasn't showing what music i put on using creative, and for some reason i couldn't fix that.
i haven't tried windows media player yet.
wmp is crap imo. doesn't work with some of my music because it says that it's not liscenced, plus transfering playlists is a pita for me. i use creative's mediasource when in windows and i'm still trying to figure out how to mount the micro in linux...