In addition to what Shade said, sprite sheets are much more convenient if you just want to admire the sprites, you can just view them in your browser without downloading and extracting. There are a number of sprites that I've wished were sheets because I just wanted to look at them, but not so much that I can be bothered downloading them 
ZIP submissions are usually used, as Shade said, for large submissions, those which would take an unreasonable amount of effort and time to sheet, or ones that just don't work that well as a sheet (e.g. World of Goo, there are images for the eyes, bodies, connections, etc which make more sense as separate images). This is usually only the case for when you're extracting files though; hard-ripped sprites generally have no reason not to be sheeted.
ZIP submissions are usually used, as Shade said, for large submissions, those which would take an unreasonable amount of effort and time to sheet, or ones that just don't work that well as a sheet (e.g. World of Goo, there are images for the eyes, bodies, connections, etc which make more sense as separate images). This is usually only the case for when you're extracting files though; hard-ripped sprites generally have no reason not to be sheeted.