It looks better,
skips the Zen's (pre-)amp,
can drive better headphones/speakers, and you can plug it in to the same amp that holds your other audio-equipment.
So docks are all nice in theory, but in the end, the pre-amp shouldn't be much of a problem, and a good soundcard + headphones as well as a way to play your Zen's files on your computer (= USB/Firewire cord and supporting software) should work do about the same job. This is cheaper, and has almost the same result unless - of course - you want to play it on an audiophile set-up (and not just connect it through the headphone so actually skipping the pre-amp...does the Zen have a line-out?).
For audiophile playback though..why would you use a portable mp3-player anyway?
