I would seriously consider buying a zebra. I think it would be so cool! I definitely would try trying a donkey first though (I love donkey's too
). It would have to just be a fun pet though, I don't think you could expect it to be anything more than that. There really aren't that expensive you look into buying a baby ($4000 is very doable), but I would only do it id I had come into a good phase of financial security. It probably wouldn't be a good idea unless you had a lot of horse training experience.
My uncle used to own a Zony (zebra/pony hybred) but he wasn't very friendly. He pretty much wanted to be left alone. I don't think he had very much handling as a foal. My uncle owned a petting zoo so that's why he had him. He was not a horse trainer so nothing ever become of the Zony. He didn't have him for very long.
I wonder if Zebra are any good with kids? How neat would that be to have your little kid riding a Zebra in the 4th of July parade!