Forum Moderators: open
Many webmasters here ban Zeus's bot, but I don't. Usually, Zeus checks a relatively small number of pages, say 10 - 20, and hence doesn't pose any massive server overload problem. Even if you never reply to the link request e-mails, you'll probably end up with some free inbound links. (The default mode of operation is to list relevant sites in the published directory, and then contact the site for a link upgrade.) Some Zeus directories appear to be penalized, but others seem to have PR that is fine.
The Link Development [webmasterworld.com] forum has many past discussions that mention Zeus.