Hi and welcome!
Megane and Zed are chalk and cheese. Starting with the blindingly obvious, the Zed is a sleek coupe which attracts attention (mainly good, some bad) wherever it goes. It has no back seats and luggage space compromised by both its shape and the hefty strut brace in the back. It has a torquey, big, thirsty V6 which sounds fantatstic and rear wheel drive to give you all the sideways action you need. Its a proper old school sports car - perhaps a bit lardy but loads of fun.
Megane is a hot hatch. Only those in the know will look at it twice. Pretty standard engine pushing through the front wheels. Very practical, no doubt very easy to live with and clearly one of the best, if not the best, hatch out there. But its not a sports car and its no Zed.
I suppose you'd expect a slightly biased answer on a Zed forum...