I think my all time favourite is the Necroscope [http://en.wikipedia.org/wiki/Necroscope] series by Brian Lumley. It's hard to say which is my single favourite book as there's 13+ books in the series, but if I was pressed, I'd have to say the first book, because once I read that I didn't want to read anything else until I finished the complete series.
I've also really enjoyed Max Brook's "Zombie Survival Guide/World War Z", and "Fiends Of The Eastern Front" by David Bishop.
The most recent book I read which quickly became a favourite is "I, Zombie" by Al Ewing.