He has a tangible sense of fun from the emergent nature of his combos.

The order in which you do things matters a lot, your cooldowns are very meaningful strategic elements, and his effectiveness is strong both in laning and in teamfights, scaling heavily with skill, despite being a melee assassin.

Pretty please design all your champions with such a nice skill curve and player-decision based differentiation!

I mean, he can still be effective and fun even if you aren't that good with him.
But he also gets better and better as you do.

And the inter-skill interaction (primarily with his clones) leads to a wide variety of tactics, improving replayability.
Each skill alone does something good, but together they have emergent effects and strategies for the player to use.

He rewards you for cleverness, rather than requiring you to do things one way.

I would be quite happy if all your upcoming champions had such optional skill-rewarding combinations.

The only reason I still play him even after losing every single game I've played with him is because he's fun. But he still sucks.

Zed is really fun to play without question, all he needs are number fixes and he will be one of my favorite champions Riot has put out in a long while, that or lower the energy cost oh his stuff slightly...Either or.....or...both.

Thinking of getting him, he looks a lot like LB which is my favourite champ, but shes not in a great place at the moment so I might give Zed a shot.

Is he any good late game?

Try him in the jungle.
His ganks lack in CC but he does have his lee sin esc quality's.

Is he worth it?

He needs to built as a bruiser. He's almost blatantly intended to be built as a bruiser rather than an AD stacking assassin. His burst is very high with only medium amounts of AD. A late game build with only 130 bonus AD will put out around 2500 physical burst for his combo; his 25% AD boost really helps him out in the late game.

The only AD you need to build on Zed is a BT or IE + LW. So even with boots, you still have three slots to dedicate to defensive items; and you should put defensive items in those slots. If you're building Zed with 4 big damage items + boots and a GA/Trinforce, then you're going to suck.