I've logged more hours in Zombies on BO than I care to admit, and I can honestly say KF is more fun. It's a common thing to spend the first 7 rounds in ZBO bored as hell. It's slow to get started and takes a set amount of time to get through the beginning rounds because of the slow spawn rates.
With KF you can blaze through the first few rounds because of the quick NPC spawn time, and in no time you're already facing tougher challenges. Add in perks, leveling, and a diverse selection of baddies, and you've got a quick paced kick-*** co-op survival game with a lot of replay value.
In ZBO, I do enjoy being able to buy a better gun as soon as you get the money, but the temporary availability of the trader is one of the core gameplay elements of KF, and I wouldn't change it for anything.
tl;dr Buy Killing Floor, it's a wiser investment.