The need to conduct and manage large sets of experiments for scientific applications dramatically increased over the last decade. However, there is still very little tool support for this complex and tedious process. We introduce the ZENTURIO experiment management system for parameter studies, performance analysis, and software testing for cluster and Grid architectures. ZENTURIO uses the ZEN directive-based language to specify arbitrary complex program executions. ZENTURIO is designed as a collection of Grid services that comprise: (1) a registry service which supports registering and locating Grid services; (2) an experiment generator that parses files with ZEN directives and instruments applications for performance analysis and parameter studies; (3) an experiment executor that compiles and controls the execution of experiments on the target machine. A graphical user portal allows the user to control and monitor the experiments and to automatically visualise performance and output data across multiple experiments. ZENTURIO has been implemented based on Java/Jini distributed technology. It supports experiment management on cluster architectures via PBS and on Grid infrastructures through GRAM. We report results of using ZENTURIO for performance analysis of an ocean simulation application and a parameter study of a computational finance code.