In Singapore, after telco subsidies, the Desire Z costs the same as the Desire HD. I would say, go for the Desire HD. The Desire HD has a higher resolution camera, dual LED flash, a faster CPU (an improved 1GHz Snapdragon version of the Nexus One’s), and larger battery capacity. Go for the Desire Z if, for some reason, you absolutely need a QWERTY keyboard.
The Desire Z’s slide-out keyboard has four rows of buttons. The buttons themselves are flat, but they do protrude out from its surrounding surface, so it’s easy for the fingers to feel the key positions. Personally, I don’t think I would be very productive with such a tiny keyboard, so I’d rather have a good software keyboard to use.
Overall… I don’t fancy the “feel” of the Desire Z. Plasticky aside, it’s also heavy and thick (due to the slide-out keyboard).