I actually had a two-hour talk segment on "zombie plans" during my radio show (Yep, I'm a DJ!). While almost every vehicle has its pros and cons, my callers and I managed to reason that if properly prepared (meaning you've recognized the warning signs and are stocking up just in case, BEFORE Z-Day), an RV/mobile home might be a good idea because you would have a mobile base to take with you, store weapons and possibly allies, and also have some of the amenities of home. However, if you're jacking a car from the dealership down the road at the last minute, you're going to want one of the more fuel-efficient vehicles. Though I would still recommend a car/truck/SUV over a motorcycle; despite the bike's fuel economy, I would feel safer with a cage between me and the undead. Grab what you need only; now is no time to test-drive that Porsche!
EDIT: I almost forgot: my guest-host mentioned that a bicycle is the most fuel-efficient thing EVER because it never runs out of fuel, but see my above argument for cages. However, carrying them doesn't have to be cumbersome; they make lightweight ones that fold for easy carrying on your back.