Zen values simplicity, so does agile development. Zen means introspection, a key component of Scrum as well. Additionally, Zen is the attainment of enlightenment: very similar to the feeling when you first get agile.
As promised, here's the first post in a series about the free presentation Zen of Scrum available at SlideShare.net. (It is also available as PDF here.)
Why did I name the slideshow Zen of Scrum1? In addition to the things mentioned above, Zen is a state of complete awareness where you are in perfect tune with your surroundings, ready for anything. This is a goal of Scrum, too: you should always be prepared for, and welcome, changes.