If you want something free off of Steam, check out Zombie Panic Source. Until I got L4D2, it sorta served as my poor man's zombie survival game. It's actually got a few elements to it that I prefer over Left 4 Dead. Of course, it's got that really patchwork feel that comes from Source Engine mods- There's a lot of oddly made maps, but it's a lot of fun once you get the hang of it. There's also the fact that the horde is entirely made up of players, so friends who get killed know how you play when they become zombies, which can make things extra dangerous.