Zenwalk is very slick unfortunately I couldn't get my ATI card acceleration to work on it.
Apart from the ATI issue I found Zenwalk simple to install and easy to install programs from the repositories.
If you have Ubuntu installed then if you have a partition set aside you can install Zenwalk to it - skip the installing Lilo part and simply add a line to your /boot/grub/menu.lst something like;
# This entry added by me as an example
# installation on /dev/hdb4
title Zenwalk 2.01, hdb4
kernel /boot/vmlinuz root=/dev/hdb4 ro