There is no need to arrange for a visa before you arrive in Zambia whether you enter by land or air; it costs considerably more than obtaining the visa upon entry and is highly inconvenient.
Nationals of most countries will pay at least US$25 for a single entry visa, US$40 for a double entry visa and US$80 for a multiple entry visa (expensive but often necessary for overland routes).
Due to the rather high cost of the visas, it is useful to know about a little-publicized fact - that it is possible to get into Zambia for FREE if you are "introduced" to Zambia by an establishment on the inside; any hotel, hostel or such outfit can arrange this for you. Usually it is a simple matter of notifying the hostel of your wishes and providing them with your passport information, arrival date, etc; they will then contact the border post or airport ahead of time and you will be entered into the immigration register. When you arrive at the immigration desk, just mention that a waiver has been arranged for you and all should be fine when they find it in their register. Cha-ching - free stuff! We took advantage of this when arriving at the Lusaka airport and also when crossing back into Zambia from Botswana and had no problems in either case.
It is also useful to note that different immigration officials at different border posts will grant you different visas for no apparent reason; therefore it is always prudent to ask for the best possible visa (longer, multiple, etc). We often found that the immigration officials would be willing to give us better visas if we could explain what we were going to use them for.