Yeah, some big differences and some similarities.
The major difference you'll notice right away is the display - it looks huge compared to that of the Hero. It's physically only 0.5" larger (on the diagonal) but the higher resolution (800 x 480 vs 480 x 320) emphasises the improvement. It's also noticeably heavier than the Hero, but is still a comfortable "trouser pocket carry". It's certainly still very practical for single-handed use, which was a major consideration for me.
Another immediately-noticeable difference is in the performance; the Z's CPU is both more powerful and more efficient. Not surprising considering they're at least two generations apart, but a major improvement nonetheless.
Then there's the obvious.... the slide-out keyboard. It adds a few mm to the handset's depth and is a major contributor to the added weight.
Software-wise, it's very much business as usual for HTC handsets. Sure the Z has Android 2.2 with all the improvements that offers, but Sense 2.0 is still Sense so the UI will be very familiar. v2.0 of Sense brings niceties like skins and sound sets to the customisation table, and it runs as smooth as silk.
Hope this is of some use to you.