Zeus is more refined and has actual Gods that walk around and do stuff.
Pharaoh has massive building projects and more variety of goods/buildings, but the Gods only "punish" you through events and text.
Zeus is a good starting point and if you enjoy it, I say grab the expansion and Pharaoh/Cleopatra.
Edit: OK, I've rethought this. Zeus is more of an actual "game" whereas Pharaoh is more a micromanaging sim.
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