I have more experience in 3ds Max than in ZBrush so I can give you some information from that perspective.
First off, if you plan on doing any animation yourself, you will need a full package like Max or Maya. ZBrush is mainly for modeling / texturing. If you are just modeling, ZBrush can most likely do whatever your imagination can think up. If you model something in ZBrush and don’t like the edge-loops, or anything about the topology, you can retopoligize it right inside of ZBrush.
With that said, here’s some of the advantages I’ve seen when using Max with ZBrush:
First off, you can create a base mesh in Max (or Maya, etc) that can have a more unique base topology. If ZSpheres can’t create the topology you need, importing your own base mesh can sometimes be what you’re looking for.
Second, you can create your UVs before you import into ZBrush. This is just in case you don’t like making UVs after you’ve already made your model in ZBrush. (Which you will also need external software for if you go straight ZBrush–If you wan’t custom UVs. Not Auto-generated ones.) However, making UVs after modeling and texturing in ZBrush is a very nice option because you can analyze the areas that have the most detail, and tailor your UVs accordingly.
Third, I’ve not been very successful in making rigid and mechanical shapes in ZBrush. Some of the users here at ZBC are fantastic at doing that, but I’ve always found it easier to do mechanical / hard surfaces in Max and Maya.
Finally, it’s always up to personal preference. Give both of them a fair chance and see what you prefer. Modeling characters in ZBrush is very flexible and much like sculpting clay. Modeling in external packages is more like making things with… K’Nex? Lol, it’s definitely not clay though. Where modeling in Max or Maya can be more time consuming for some, it can be quicker for others. Where ZBrush can be quick for some, it takes others hours to retopo a model for games / animation (if a retopo is necessary of course).
Personally, I recommend using a combination if that is an option. I like having Max to fall back to if I need something that I just can’t seem to figure out in ZBrush. But that’s me. 
Good luck in your research!