There are five presidential candidates, with incumbent Levy Mwanawasa seeking a second five-year term.
He is facing a strong challenge from former minister Michael Sata, who has accused the president of selling off Zambian resources to foreign interests.
After voting, Mr Sata praised Zimbabwe's President Robert Mugabe.
"The people of Zimbabwe are not suffering. They are much happier"
Some voters have, however, complained about delays in casting their ballots.
The polls were due to close at 1500 GMT, although those still queuing then are likely to be allowed to vote.
Opinion polls have varied wildly, but the most recent ones put Mr Mwanawasa ahead. Allegations of fraud marred the president's narrow win five years ago.
Economic success
The BBC's Damian Zane in the capital, Lusaka, says Mr Mwanawasa, the Movement for Multi-party Democracy (MMD) leader, will be hoping his message of stability proves a winner.
Mr Mwanawasa and his backers have boasted about steady economic growth and success in getting most of the country's foreign debt written off.
"There are three lines and we have to vote in alphabetical order. I think I might be able to vote soon as my surname begins with 'B'"
He refused to talk to waiting reporters after casting his ballot near Lusaka.
Opposition supporters say it is time for a change after 15 years of MMD rule.
They say they have yet to feel the affects of the economic reforms - the revival in the crucial copper sector is slow, unemployment is high and there is concern over health and education standards.
"We need to bring hope to Zambia... Can people eat inflation?" Mr Sata said as he cast his vote in the capital, Lusaka.
He also praised Zimbabwe's President Robert Mugabe for seizing white-owned land.
"Mugabe hasn't done anything wrong. It is the imperialists, the capitalist-roaders who say he is a villain," he said.
"The people of Zimbabwe are not suffering. They are much happier."
Zimbabwe's inflation rate is 1,200% - the highest in the world.
Mr Mugabe denies ruining the economy, saying he is being punished for standing up for the rights of Africans.
Mr Sata has promised to expel those foreign business leaders he accuses of mistreating their Zambian workers.
Warning
Mr Sata, a veteran of several previous governments, is a charismatic figure who revels in wowing the crowds.
His message of lower taxes, more jobs and more money in your pocket is designed to gain the support of disgruntled Zambians.
Two-thirds of Zambia's 11.5m population live on less than $1 a day.
The opposition vote is divided between the other two main candidates - Mr Sata, of the Patriotic Front, and Hakainde Hichilema of the United Democratic Alliance, which includes former President Kenneth Kaunda's party.
But the president has been warning that a vote for Mr Sata could seriously damage Zambia's economic recovery.
Mr Hichilema, a successful businessman, is a political novice but is expected to secure strong support - especially among the middle classes.
Godfrey Miyanda and Kenny Ngondo are also running for president.
Some four million Zambians are registered to vote in presidential and parliamentary polls, with results expected on Saturday. No partial results are being released.
^ Back to top | BBC Sport Home | BBC Homepage | Contact us | Help | ©
~RS~q~RS~~RS~z~RS~41~RS~)