I found integrating ZP in WP was quite easy. I just copied the index.php from my WP theme, replaced the code in the content section and added soms items in the head section. (http://www.spoenk.nl/beeldend/fotografie)
At first I asked this same question here at the forum. Will there be a perfect integration of ZP inside WP. But now I don't want that anymore. Now I like to keep those two seperated. You never know how WP or ZP will evolve and perhaps there will come a day that you want something else than WP or ZP. Also a reason why I try to minimize the amount of plugins I use in WP and ZP, at least plugins that alter things in the database.
Or think of this: let's say you are using the images inside the ZP albums to link to from within a WP post or even place them inside your posts. Then, after some time, you decide to use another program, or ZP let's you store images some place else or whatever... Then the links will be broken.
Personally I think it's best to keep these two seperated. That's why I've chosen to not use something like NextGen.