General

I like zero's story and style of gameplay. Xenon is a cool theif/pirate with flashy skills.

I have played both. I think that the decision comes down to which play style you like better. Zero requires you to use ~8 different skills at a time, Which can become a bit tedious, while Xenon is more a 1 or 2 skill spamming class for me. Like others have said, I recommend that you try Xenon first, and if you like the play style great. if you don't, at least you have a great link skill mule.

Zero got really boring to me, but that's just my opinion. Xenon has blade dance, which is sexy as hell.

if you havent played zero yet, you may not like the game play. zero has prolly the most unique game play of maple. try a xenon first, then if you dont like it try zero

I've played both, and I did enjoy playing both characters, however I think that Xenon was more enjoyable than Zero was, to me, at least.