Lets look at the facts shall we?
What they are:
Zombies- Shambling undead, animated by a terrible virus, supernatural powers or some completely unexplained phenomenon.
Nazis- Hateful agressors bent on domination of Europe.
Advantage: Zombies (for allowing writers everywhere to use the word "shambling").
Zombies- Consume the flesh of the living, spreading their terrible influance.
Nazis- Military victory and ethnic cleansing.
Advantage: Zombies (Braaaaaains...)
Zombies- Can suvive near total dismemberment and maintain motor function. Can spread their influance through infection.
Nazis- Scream humorous German phrases when they die.
Advantage: Zombies (Nothing beats an enemies arms and legs and watching them squirm around on the ground, still trying to bite you)
Zombies- Slow speed, limited mental capacity.
Nazis- Can't ever seem to hit the broadside of a barn, especially if Indiana Jones is around.
Games that involve them usually also involve:
Nazis- World War II.
Advantage: Zombies Zombies Zombies!!!
I think the conclusion is obvious. Killing the undead is much better that playing another WWII game any day of the week. =D