.50cal D'eagle - If I want to shoot something, I want an exit wound the size of a melon. Enough said. 1 shot, 1 kill.
Ammo notwithstanding of course, I assume it is limited? Not to mention zombies loooove loud noises. =3
Lengthy Blade of some description. Probably a high strength (Folded), lightweight, single edge.
It is not for hewing limbs or cutting them in half, it's for swift decapitation - the cliche way to instantly kill a zombie.
Either of the following, dependent on what type of zombie we are taking about.
Slow, lumbering, stupid zombies:
Full-staff/Pole-arm. Zombies are indeed highly dangerous if they manage to get close, most are very strong considering.
Keep your distance, knock them down, keep moving. They take a few moments to get up and if you take the time to kill every last one you see you could easily find yourself surrounded, outnumbered and very much screwed.
Fast L4D/28 days later zombie:
Retractable/Lockable wrist mounted blades (1 foot length, double-edged, both hands).
You are going to get mauled, there is no if. The question is will you be able to kill it/them before they bite you.
Even when pinned it should still be possible to perform a head damaging/severing slice or stab.
Additional, dense clothing/gloves with several layers of duct-tape.
Highly bite resistant, also blood-spatter proof.
Going Rambo is all well and good, but I don't intend to become food just because I ran out of ammo. =3