It's spectacular. You can ski across the border to Italy and back for a great day out.
Broken Barrel's the best club in Zermatt.
The main reasons people come to Zermatt are for the Matterhorn and the skiing. There are great views of the Matterhorn and other mountains from the town (and better views from Kleine Matterhorn and Gornergrat) and most of the skiing is in the difficult range.