The actual volume you will get from the Zen depends more on the sensitivity of the phones. For the same sensitivity (measured in dB at 1mW, decibels at 1 milliwatt) 64ohm phone will be a bit quieter than 32ohms. You can also use 16ohm phones, which will be slightly louder than 32ohms (for the same sensitivity). In any case, the Zen isn't hugely loud compared to some players.
It's more a case of finding phones that are comfortable for you and sound good, so don't worry too much about impedance (ohms rating).