I just made the disicion to go with N scale myself. I just got back into the hobby and asked the same thing you did. I cant say anything about Z, other than what I have seen is quite expensive. As for comparing HO to N, N scale is slightly cheaper. The catch though is that with N scale, you can and will fit more stuff into a smaller area, making the cost more.
So yes, I find N scale cheaper initially, but if you are not careful, you will end up spending alot more than planned.