I've asked the same question in the OT and didn't get many answers...
For me there's this incredibly cool game with a nice story: Stubb's The Zombie
, based in the 60's! Great one, you've got to try it!
It runs on the Halo engine and AFAIK available both for PC and XBOX.
The other one I know, is one of those web-based browser games called Urban Dead
, but you know how those games get with time... either kinda boring and repetitive or close to unplayable with 23942903747 cities to control...
There's also Left 4 Dead
on the Half-Life 2 engine, thus running pretty sweet, but... the Zombies are kinda... not my style