The Zyxel doesn't come with any hard disks, instead allowing you to install your own. If you can follow a LEGO-like set of instructions, it's not too difficult.
The two bays can hold hard disks of up to one terabyte (TB; equals 1000 gigabytes) each, and the arrangement means one bay can back up the other, or you can combine the capacity of both to create a 2TB system.
This build-your-own approach also allows you to save money: a decent 500GB drive will cost around £60, so two of these, plus the NSA220, will give you a 1TB unit for around £290. That's 29p per gigabyte, which is very reasonable.