There is a permanent hissing sound which I assume to be coil hiss (a bit like the noise that comes from a refrigerator when the motor cuts in), something that MikeC mentioned in his Review, also a low frequency rumbling noise which comes and goes, probably bearing rumble from the fan. Fan noise seems very satisfactory... Do I have a bad example or is this an inherent "feature" of the new Zalman PS'es?
The hissing noise -- sort of like something frying quietly? I have heard that before but I am not sure exactly what coimponent makes it. Coil noise is usually a high pitched whine. (Very annoying!) The review sample had a bit of it but seemed to fade as it was used more. Don't know about any low frequency rumbling noise, the sample did not exhibit anything like that, the fan seemed fairly good. You might listen to the noises and see if there is any pattern to them, any correlation with what you're actually doing on your pc. There just might be, and that might tell you something.
Just wait and see if the noises fade. Burn-in sometimes has a mysterious way of making problems go away. If they remain after another week, you might
1) go back to the shop & suggest it's not working right & ask for an exchange (maybe prepare for this possibility by letting them know you think it is noisy now)
2) swap the fan for a quieter one. The latter, as you know, can be dangerous if you're careless or unlucky, and voids the warranty.