Google a pic of ‘Squash Vine Borer’ and compare to the bug on your zucchini plant. Either that or some sort of stink/squash bug.
When my wife heard it might be a Squash Vine Borer, she almost went into a swoon. We looked it up on Google, however, and that wasn't it. Turns out it's a Milkweed Bug, relatively harmless unless you consider your Milkweeds a beneficial plant. Thanks for the tip, though. :)