As the prior answer indicated, NZ has a different system of medical insurance, and this (and injury liability) are basically included in the price of all NZ car rentals. What is excluded is most property damage, so you would be liable for the cost to repair the car you rented (including loss of use payments, which can be higher than the repair cost) plus any damage to other people's property. Some shady car rental companies are notorious for charging hundreds of dollars for every scratch on the paint -- and they make sure they always find a few scratches. The other consideration is that some will put a hold on your credit card for several thousand dollars at the time of rental (this is disclosed in the contract and varies by company) unless you buy their insurance. The major companies (Hertz, etc.) dont do this and are reliable in my limited experience. It is definitely a point of concern, and if you have a dispute, most credit card companies will accept it as a legitimate charge under the terms of your rental contract (so you cannot refuse to pay later).

Your alternatives:
1. 3rd party car rental insurance
2. rider to your personal car insurance to cover rental cars (some insurers do this, for a very small amount, in the $100/year range)
3. umbrella policy (usually limited to liability)
4. travel insurance that includes car rental coverage (rare outside of certain countries, not offered in US or Canada generally)

Of course the car rental companies make their offering the most convenient (just not the cheapest). Sometimes you just have to accept it as a cost of the rental (e.g. in Mexico I would never consider renting a car without that companies CDW equivalent -- too many horror stories otherwise).