The two devices are so similar, that this is more a review of one device than a real head-to-head comparison of two devices. As far as their operation as Wi-Fi finders, both products are virtually identical and could well mark the evolutionary end of the line for this product category. With their dual-band operation, truly pocketable size, LCD readout of signal strength, encryption status and SSID, and rechargeable NiMH battery, there's not much else to be done to provide a more capable Wi-Fi finder (aside from a backlit screen, perhaps).
As wireless client adapters, the ZyXEL AG-225H's slightly broader feature set including the capacity to act as an Access Point, auto DHCP renewal and support for Mac OS X gives is a definite edge over the TRENDnet TEW-509UB.
As I write this, ZyXEL appears to be dropping the street price of the AG-225H to around $74, probably to more closely match the TEW-509UB's current list price of $70. TRENDnet's product is in the process of entering distribution, with an e-tail street price around $65 according to TRENDnet. I actually got a single Froogle hit with a price of $58, but the product wasn't in stock.
So if you are dead set on an adapter that can also function as an Access Point, or require Mac OS support for your adapter, go with the AG-225H. Otherwise, check around on pricing, and go for either one.