I own the Creative Zen Nano (didn't want the radio, so didn't get the "Plus") and a Cowon iAudio 5.
The iAudio has impressive, excellent sound (on par with my hard drive players), but I find the two jog dials and all the sound and color options more complicated than I really want in a flash player. It's light, like the Creative, but it has larger dimensions (still small, though -- just not as small). It has a bit of "bling" factor, but early-2005 tech is already getting "old" in the rapidly changing world of personal digital audio. The iAudio has come down in price a bit since I bought it, I presume in response to the 800-pound gorilla, the iPod Nano. So it's a better deal now than when I got it early this year ... but still more expensive than the Creative.
The Creative has quite good sound, and is really easy to operate (just one jog dial). It's quite small and unobtrusive -- I own the black and have bought the red as a gift, and both look nice, but not glitzy. The Creative is a very good buy -- it's a great first DAP, and serves me well as a back-up DAP. It's very usable, but not so expensive and "special" that you wouldn't later hesitate to "buy up" and get another player.
Both use AAA batteries, which for my purposes is what I want in a flash player. I don't use the earphones that came with either player -- they're like trying to put silver dollars in your ears.
I can't compare the radios, but I've been spoiled by digital MP3s and don't listen to the radio so much. The one time I recorded a "test" message to myself using the Creative, my voice sounded creepy and murky -- but then I'm sure it always does. I could tell what I was saying, but the fidelity wasn't amazing -- depends what your expectations are, I guess.