Many FPS games have zombie mp mods, (Cod 4, HL2, Farcry, etc), and many sp FPS obviously feature zombies in them, even if they are not the main protagonist. Here is a list that contains about 30 PC games with zombies, but do your own research before you buy, as quality control is all over the place.
If you want something brand new, then I assume "Fallout Las Vagas" (due in Oct), will have zombies in it somewhere - would be mildly disappointed if it didn't.
If you are on a tight budget, then just go through your collection of FPS games, and then google each game name with "zombie mod" attached, and I guarantee you will find some instant zombie action.
Regards - Mr P