The Zen's _remote_ is cheap plastic. The Zen main unit is solid (all metal) and seemingly scratch proof. You can pocket it with no worry, case or no case.
Regarding the O1000, I would not pocket it without a case bacause the surface of the face is clear glass or plastic and probably easy to scratch. I would always keep it in a protective case but the one included with the player is a POS. I mean thin vinyl and really ugly. It ahhilates the clean design of the Odyssey and makes it look more like a cheap K-mart tape player.
IMO the Zen has the best sound quality, but cumbersome navigation and it takes awhile to get used to the Nomad OS. However once you do there are a lot of search and play options that are not possible with Odyssey.
On the other hand, the O1000 is good for people who don't have a clue about ID3 tags. They can just do the file naming structure the Odyssey requires and be happy with that.