Nmap is documented extensively online. Zenmap documentation exists and is improving. You can find it all at the Nmap documentation directory. Further information is available from the Zenmap web page itself.
On Unix, you can also run man nmap and man zenmap to learn about your installed Nmap version, though the online Nmap docs are more comprehensive and always up-to-date.
For quick reference to the most popular Nmap command-line arguments, run nmap -h.