No only are zeros more sensitive to interest rates than a comparable coupon bond, but they have higher convexity. This means that when interest rates move lower you will make more money than when you hold a bond that is less convex, and when interest rates move higher you will lose less money than when you hold a bond with less convexity.
In times of deflation, zero coupon bonds are superior than regular coupon paying bonds. Typically the gains are 50% higher. The reason is because they are more leveraged to interest rate changes. In inflationary times, there are not that hot.
I just checked the price and it's $291. It went down since interest rates have been going up. Anyone think that they're a buy now, or do you think rates will go higher? http://finance.yahoo.com/q/bc?s=^TYX&t=1y&l=on&z=m&q=l&c=