Ive beat Underworlds like 7 times already (its a short game), and I still think Zenonia wins (even though I'm only like halfway through). It's just a better-made RPG; its more deep in every way. For $1 Underworlds is a good price though, especially if they are going to bring some free updates (I feel ripped off getting it for the regular price: $5, but it was the first RPG, so I was eager). Zenonia is $6, Underworlds is currently $5 (whats a HUGE rip-off). Get Zenonia, wait for Underworlds to get desperate and put it down to $1 again.
Comparing apples to pineapples, but if you were to get only 1 of the two mentioned, I'd go with Zenonia as it has far more content.