ZBrush 3 cant do normal maps at this time. Pixologic claims it can however do displacements. Ive been trying different displacement settings for a few days now and from what Ive been trying and from what others over at zbrushcentral.com have been saying, it cant even create accurate displacements. What it amounts to is that Pixologic shipped the program incomplete. An awesome product, but poor salesmanship...
If you've got ZBrush2 however, you can use the multi displacement exporter plugin. Just dont try to import a .ztl created in ZB3 into ZB2. It wont work. A .obj model will, but ZB2 cant handle models with really high polycounts like ZB3 can.
If you cant do any of that, I guess you're just going to have to wait like the rest of us for the 3.1 upgrade. It hasnt been confirmed what features it will have, but hopefully it will solve the mapping issues everyone is having. It was supposed to be out back in June... then a mid July release was posted... so who knows when its coming...