The zebra is better in ways that you will not notice, even if you look for them. The thing to consider here is:
Good horse is a shiny purple unicorn, good zebra is a sparkly, kind of pinkish zebra.
Neutral horse is a blue, bubbly-looking classical Greek Horse of Poseidon, neutral zebra is a zebra.
Evil horse is a kind of skeletal corpsey horse, which basically looks like rotting flesh, while evil zebra is a spiky, red-and-black zebra.
It is a matter of appearance. Personally, I think the horse has better alignment-based effects on appearance, but the zebra is cool for people that really like zebras and don't want their creature to change too much.