As a Terran player, countering a Zealot rush can be very difficult. Our poor Marines and SCV's die in just 3 hits and Zealots are really tough. Here's the best way to defend a Zealot rush and take the game.
The first thing you need to do is remember to send an early scout to your opponent's base to see what he's up to. I usually send my scout after building my first Supply Depot. On smaller maps like Steppes of War you may want to send a scout even earlier or it may be too late.
When your SCV gets into the Protoss base, look around for his key structures. The ones you're looking for are Gateways, Pylons, and a Cybernetics Core. If there is no Cybernetics Core and 1 or more Gateways, then you should expect a Zealot rush. Keep your SCV alive inside his base for as long as possible.
If you find nothing in the Protoss base then you are being Proxy rushed. This means that Protoss built a Pylon in or near your base and probably 2 Gateways with it. This will allow him to warp in Zealots and get them into your base extremely fast. This is one of the hardest Zealot rush strategies to defend against.
Zealot Rush Defense
After you know you've got Zealots coming to your base, you need to set up defense as fast as you can. I don't wall off my base against Protoss anymore, but doing so is one of the easiest ways to counter a Zealot rush. If you keep losing to early Zealots then you may want to try walling off your base. When you do you'll allow your Marines to fire at them without being in danger. Just be sure to send some SCVs up to repair your Supply Depots before they get taken out!
Without the wall off, you're going to need a lot of low tier units to help defend. Build 2 Barracks and start making Marines like crazy. Immediately build 2 Bunkers in your base right around your Command Center so you can fire at the Zealots if they try to attack your SCVs. When they attack your Bunkers, move SCVs up to repair them, if they run away to attack something else, chase them with your Marines and run back to your Bunkers if they turn on you.
If you can keep your macro up and not let too many of your SCVs die you should be able to counter a Zealot rush pretty effectively. Remember SCV's die very fast to Zealots, so always run away unless you're protecting a Marine from getting killed.
If the Zealot rush continues for a long time and you're able to survive, build another Barracks if you have the resources. Add a Tech Lab onto 2 of them and start building up your infantry army to go attack the Protoss player. Once you've defeated the Zealot rush send an SCV into his base to see how big his army is.
Most of the time, especially if it's a proxy rush, you can send your force out almost immediately and take the win. Be sure to make some Marauders and research Stim Packs so you can take out Stalkers quickly too.