I’ve been working with both Blender and ZBrush for several years now.
Generally speaking, ZBrush still wins from Blender’s Sculpt Mode when it comes to high-detail sculpting with lots of polygons, and it offers a great export pipeline for displacement maps, normal maps etc. to editors like Substance Painter, and to game engines.
However, ZBrush is relatively limited in areas other than sculpting and vertex painting. For realistic rendering you’ll need to export a scene to Keyshot, Blender or a different renderer. For good old-fashioned polygon modeling, ZModeler is quirky in my humble opinion. For example, you can’t extrude edges. You also can’t work with multiple simultaneous camera views, as you can in Blender.
Blender has the advantage of offering a very complete toolset. You can alternate between powerful polygon modeling, sculpting and rendering, all in the same coherent environment, with interchangeable keyboard shortcuts. And Blender’s Sculpt Mode is rapidly catching up with a lot of tools that were previously only available in ZBrush, and new tools are added that even ZBrush doesn’t have, such as the Pose brush, Elastic Deform brush and the Cloth brush.
Some features are more or less on par with each other, such as Blender’s Dyntopo mode vs. ZBrush Sculptris Pro mode, and Blender’s Voxel Remesh vs. ZBrush Dynamesh (although the Dynamesh algorithm still works a bit better).
A former ZBrush-only star, the ZRemesher auto-retopologizer, is now available as a Blender add-on called Quad Remesher.
Blender (version 2.8+) also comes with a more conventional, accessible UI than ZBrush. The Zbrush UI is a bit idiosyncratic, with lots of Control + Shift key combinations, and many tiny buttons in endless rollouts. But you can customize / personalize the ZBrush UI a lot better than Blender, I have to admit that.
Blender has solid curve tools (Bézier and NURBS). In ZBrush you’ve got some very quirky curve tools you need to awkwardly manipulate with the brush gizmo.
Some ZBrush features I still really miss in Blender are the volume-preserving Alt-Smooth brush, the Deformation ➔ Polish tool, and the Slice, Clip and Trim brushes.
In conclusion, these days buying ZBrush is only necessary if you’re into really high-detail sculpting.