I don't know about the DVDs, but Zumba class is SO much fun and I burn a ton of calories and every part of my body feels worked. It should definitely be challenging, though I still need more strength training on top of it. You can't get a better form of cardio!
Zumba will be as challenging as you make it. You can go kind of low key and not jump or anything or you can step it up and put the most into every move. The more you give the more you are going to burn. We have some girls who go all out twisting, twirling, jumping, etc. and others who keep their feet on the floor. It depends where you are physically but mentally as well. Just as with all other forms of exercise, you have to push yourself to really see the greatest results. BUT it's easier to push with Zumba because it is so fun!
You don't have to be coordinated....you should see my sister

the point is to do your best, challenge yourself, and just keep on moving. It has a lot to do with your instructor as well and good they are at giving the cues of what is coming up next. We have our main instructor who ROCKS and even the uncoordinated ones get it rather quickly, then there is a new girl trying to start out and she gives no cues at all and most people are lost all the time. The instructor's energy is also a huge factor in the success of the class.
It is addicting, though! I go with my sister and a friend and we are all addicted to it now!