Are there significant differences between different zesters?

I think there's probably a bigger difference between types of zesters than between brands.

No matter what type you choose, look for one that limits how deeply you can cut into the fruit's peel. You want to get only the colored layer, and as little of the white pith (the bitter under-layer) as possible.

The most common kind that I've seen--a series of little loops at the end of a metal scraper thing (hard to describe, I guess)--are too small in my estimation. They work OK, but they are usually kind of dull, so they release a lot of the oils as you use them, and it takes a long time to get a lot of zest. Some also have a second slot to allow you to cut a fat piece of zest, appropriate for a martini or the like. Even on the fine side, the zest they make isn't really very fine, and might wind up as a texture in the final dish. (I think of these as more of a bar tool than kitchen tool, and wouldn't purchase one of these of any brand)

Microplane graters are quite popular for zesting, and they're what I use the most. They don't dig deep, and are crazy sharp so they don't bruise/mash the zest much--less fragrant oil on the tool, more in the dish. They also work really fast--it takes very little time to get the zest from an entire orange. The zest produced is very fine and will disappear in most cooking applications. Because they're sharp it's easy to grate your fingers by accident, so they require some care in use. There are lots of styles out there, from the classic that looks almost like a wood rasp to ones that look more like a grater. I think these are great to have on hand anyway, since they're really good with parmesan cheese and other hard items, and they're killer for zesting.

Another option is a standard vegetable peeler. These take bigger slabs of skin off, and take some practice not to cut too deep. If you do cut too deep you can use a sharp paring knife to remove the excess pith from the backside. Kind of a lot of trouble, but with practice you can get good enough that you don't need the second step. You can get a lot of zest in a hurry this way, but the pieces are huge. You'd either need to cut them down or only use them in a recipe where you wanted to take the pieces of peel back out before serving. Since you probably already have one of these, this is your most economical option.