I've done both for about two years. Specifically, I have the game "Zumba Fitness Rush" for the Kinect on Xbox360, the original "Zumba" for the Wii, and I've participated in a class here with about 20 people. The Wii game isn't nearly as good as the XBox one, so I don't really play it.
I started doing Zumba as physical therapy after an accident left me with a reconstructed femur. We started off with the demo for Xbox that had 2 songs. I love the music, honestly. It's full of energy, and it's just fun to dance to! The game is pretty challenging if you work on getting the moves just right. It took me a while to get 5 stars on every song.
The dancers are (for the most part) pretty well animated. They're dressed in typical Zumba baggy pants and skimpy tops. Some of the songs have lyrics that are partially muted out... Pitbull's "Pause" is one of them. Some of the songs also have *very* suggestive moves... Pitbull's "Pause" is also one of them. :/
The game is great fun if you want to just exercise. I'd be embarrassed to watch my teenage daughters dance some of it... but that's only 2 or 3 songs out of 50 or so. Plenty of good ones to dance.
As for how it compares to an actual class, it depends on the instructor, but the workout is about the same. There's a warmup song, 50 minutes of pretty much non-stop aerobics, and then a cooldown/stretch song. If you have a class that's full of people who have fun with it, then it's a blast. The class I was in, I was the only man there! But I had so much fun with it, we'd whoop and sing along with the songs and generally have a blast.
But eventually, since the class workout is about the same as the game, and you only pay for the game once, I went back to playing it on the XBox. It's still fun! I could see myself getting another one in the future when those songs get old.