Everyone who posts about how they'd use a shotgun, you are all going to become infected. The shotgun causes a large amount of bodily fluids to spray from the zombies, and at the close range you'd be firing at, these bodily fluids would come into contact with you. If you have any open cuts, or even if the fluids get in your mouth or eyes, you will be infected.
I prefer cleaner weapons, which can be fired from a longer range and can be easily controlled, such as the M1 Carbine.
For melee weapons I'd use the trench spike (goes straight through the skull and into the brain, killing the zombie instantly) or the shaolin spade (sever the zombie's head, rendering the body useless, although the head is still a danger).
Edit: READ THE ZOMBIE SURVIVAL GUIDE, DON'T BELEIVE THE MYTHS!