Please note that any answer is highly dependent on the specific software you're looking at. What is true for Notepad++ may not be true for other software packages, it just depends on what the developers decided to publish.
The zip packages in the case of Notepad++ are standalone -- you can carry it with you on a thumb drive, the other one isn't. In many other cases, .exe files are blocked by some firewalls/content filters for 'safety' reasons, and zip files will work.
A more extreme case of that is PDF-XChange Viewer - which has zipped installers and exe installers (so if .exes are blocked you can download the .zip) two different msi installers and a portable zip.
I'd default to .exe or .msi if I want an installer unless it's blocked since I KNOW its an installer. I'd go for .zip if it didn't work (and I really needed the software). I'd default to .zip if i wanted a portable install, unless it was a zipped installer.