Hey Guys, this is a very confusing subject. Very hard to explain in words, easier with pictures...
"Potential Difference" - All electrical charges want to to go Earth (yep, the stuff we're standing on). If we consider Earth to be absolute zero, then any conductor that may have electrons flowing through it, will have a "potential" to earth, meaning the electrons carried within the conductor would love to jump to earth. If the charge is so great, it will ionize the air and hit the ground (e.g. Lightning). Better yet, any conductor that comes along (more copper, your body etc.) that has a low resistive path to earth, will cause a flow of electrons to Earth.
Furthermore, any two conductors may have a potential difference to earth and if they are different charges, a potential difference between them.
So what does this all have to do with guitars?
As Zeruel pointed out, your strings are grounded - but to what? The audio path's shield conductor... Ok, so the purpose of this conductive path is to shield the 'hot' signal from extraneous noise. RF interferences should be induced into this path and shunted away. it's not just the cable, your guitar, your amp and your effects can also pick up noise, and therefore the preferred practice is to make most of these chassis out of metal, or to shield the internals and make all input and output shields common (connected together).
It also provides a 'virtual' zero voltage for equipment designers. They may or may not decide to treat the shield as 0Vdc. This is important as the 'hot' signal will be floating above this reference voltage point.
So, a couple of huge problems... What if you connect your gear to various power supplies, or worse yet, to different wall outlets which might be on a separate phase (electricity is transmitted to you from SP Services on three phases, 120deg apart)? What if one piece of equipment buffers the signal internally and uses a different reference ground? (i.e. has a different potential difference to Earth).
Tube amps can be nasty too. They are always in a metal chassis with all grounds common. If a tube starts to go terminal, it can start leaking current to ground. You WANT this, because it will blow a fuse and protect you (hopefully) before 600v+ starts heading your way.
The manifestation of these scenarios will be that the potential difference to Earth of your strings, will be different to other electrical appliances around you (including your stomps, your rack, your amp, the PA system...). Where there is a Potential Difference, and then a path (YOU!) electrons will flow and you will feel it. (I used to be an electrical engineer/mechanic/fitter.. oh yeah, I've felt the electrons baby! Big time...)
So, you maybe thinking you don't have your bare feet buried in wet salty muddy earth, why am I conducting? Well, it doesn't have to be a perfect path to earth to feel much...
Ever put a 9v battery teminals on your tongue? Tickles.. Hurts a little too, right? If you hold a 1.5v battery between your fingertips you don't feel a thing, do you? (Wet slimey tongues conduct pretty well!)
Voltage is the pressure that pushes electrons through you. Current is the flow of those electrons. Guitars have very very low voltages eminating from them, and don't drive much current. Mind you, it takes less than 30mA to stop your heart... Under ideal conditions, you wouldn't need too high a voltage to push 30mA through the resistance of your body.
Current is what you are feeling. Your body, your shoes, the carpet, the air - they will all conduct electricity to varying degrees, but these are all highly resistive paths.
in your case, you are getting just a little tickle right? (must be otherwise we'd be at your funeral...) It may be that you are near something that is causing that potential difference. If you plug guitar-to-amp, nothing in between, do you get a tickle? How about WITH the Zoom back in the path? Can the zoom run on batteries instead? Same issue with batteries or no?
There is one solution - ok maybe two, but the second would be more expensive and possibly not work in all cases. You can get an isolation transformer in the signal path. My favorite for this stuff is the Jensen JT-11P (Google it...). I bought some via the internet direct from Jensen (no reliable disty here) for about US$70 each. Build it into a metal box but ensure one side's 1/4 jack is isolated from the chassis (Neutrik make great jacks for this). You know, there's probably a cheap Chinese transformer of the same specs for a fraction of that, but if you sacrifice quality, the results may displease you. Basically all you'd need is a 600ohm:600ohm (1:1)transformer, no extra taps, but make sure it's potted and shielded in a can - you don't want this picking up noise. Jensen's site has diagrams, but the whole thing is so simple. This effectively preserves the shielding, but isolates your rig into two discrete paths.
Clear as mud? PM me if you need any help.