The Zen theme shows the icons vertically along the left side of your homepage. The Icon shows them along the bottom. The Today shows a select few icons as well as call log, calendar events and messages.
Actually, the Zen themes show 5 icons on the left (AT&T) or 6 icons on the bottom (T-Mobile), plus the Applications icon, which will display your entire home screen. At this point, it looks just like the Icon theme.
The Icon themes show all the icons on your home screen all at once.
The Today themes give you preview snapshots of Messages, Calendar, and Call Log (depending on which theme it is).
