You should try to pick out the smaller zucchinis rather than going for the big ones. The smaller, darker ones are best, but even a smaller, lighter skinned zucchini will have a better flavor than a larger one, which will taste bland.
If you feel like growing them, one plant can provide you with tons of little marrows to use over several months. Sometimes I even end up having to pickle some, or chop them into chutney.
Most people don't know but you can also use them in cakes, like you would use carrots. They aren't as sweet, but they add an interesting texture to a cake and help to keep it moist. Plus, they are, of course, very healthy.