Bash has a big single man page that explains every facet of the shell. Zsh man pages are split out in a few pages, each one of a more manageable size. The bash(1) man page uses a very prescriptive tone in describing the behaviour of the program, reading the bash man page is more like reading a technical specification than a user manual. The zsh man pages are more geared towards the final user.

Support for colors even in completion suggestions

Command completion is the thing I always loved in Bash. Zsh goes one step further, it supports completion and even colors in completion.

More support for the prompt customization
Zsh provides out-of-the-box some features than in Bash can be only emulated, for example you can define also a right-side prompt that will be drawn along side the normal prompt on the left.

Configuration wizard for new users

New users can use the configuration wizard that will create the configuration file (.zshrc) according with their preferences.