Staale is talking about a wizard like program (CUI) which autoruns the first time you run zsh. Just answer some questions, view/change the defaults and its configured for you.
IBM developerWorks has great resources on zsh.
I have not used very advanced features and so far I have not come across serious differences which should hamper someone coming from bash.
Some examples:
!?pattern will autocomplete to
the last command in history matching
pattern. Very useful.
You can configure a prompt on the
RHS. One use is to keep a fixed
width prompt on the left hand side
so all commands line up nicely while
displaying the pwd (or anything of
variable width) as the right hand
side prompt.
You can redirect input from multiple files (yet to try this): cat < file1 < file2 < file3
