I use Synergistic Research Red Fuses. Ridiculous prices, but ultimately worth the upgrade. Fuller, 3-D presentation. Other brands offer similar improvements over stock, with subtle differences. And at least with the SR's, fuse orientation makes a real difference. But I suggest upgrading the power cords first, before any fuse tweaking.
Regarding Power Cords, yes I have "drunk the Koolaid" and admit I am using fairly extravagant cords (Hi-Diamond P4), but I swapped in some reasonably priced cords from DH Labs (Power Plus, $240 for 1.5 meter) that I use in a second system, and they offer a substantial sonic upgrade from the stock computer-grade power cords on the BDA-3 and BDP-2.
Zoom, although I have not tried them, I bet even the DH Labs Encore, at $120, would easily beat out the stock power cords. DH makes solid, well-designed, high value stuff. No affiliation of course.