If I have no warning, my plan is to collect my closest friends, grab as much fishing gear as we can, then run down to the local marina and steal a sailboat. Zombies can't swim, after all.
If I have some warning (say, a week or so), my plan is to collect my closest friends and buy us all plane tickets to Israel. Once there, we will stock up on non-perishable foods, and make for the desert fortress of Masada. A little work on the fortifications, and we'll be safe.