Zealots are the strongest of the basic starting units and are correspondingly more expensive. Being modestly outnumbered by marines or zerglings is not a major cause for concern given the quality of the zealot. Their high hit points and excellent base ground attack with normal-type damage ensure that they are useful until late in the game, and they are arguably the best breakthrough unit due to their low cost and lack of need for micromanagement compared to the unwieldy archons.
Zealots are one of the few small units that can withstand punishment from terran bunker-and-siege tank defenses, due to their high hit points and high movement speed (only if the Leg Enhancements are upgraded). If bereft of the Leg Enhancements upgrade, zealots are vulnerable to kiting.
Zealots are virtually effective against all sorts of land units especially when supported by dragoons, high templar and air units. They are also capable of destroying structures very quickly. Effective counters to back down zealot-only groups are firebats, mass hydralisks, reavers and any air unit capable of attacking ground forces. Zealots are also fairly vulnerable to faster units such as vultures (being vulnerable to being killed in one salvo from several of them) as well as spider mines.