My team?
Arcanine
This wonderful, loyal, pokémon would be a warm, comfortable place to lean against when resting, or sleeping, plus it would be a sort of alarm/guard throughout the night, acting as a guard dog, and being able to (I assume, like most animals) smell anything strange or unwanted approaching. Being able to use fire attacks, Arcanine would be able to provide the means to have a fire at night, if we were able to find fuel. The fire would provide extra warmth, as well as a place to cook any food we were able to come by. Fire also means light, i.e. a torch. Someone mentioned Fire vs Zombies being a fast track to death. Maybe, but what if you used your pokémon at the same time? I'm pretty sure Indigo League Rules of only One pokémon out at a time per fight would no longer matter in this sort of a worldly situation. Say, I used a psychic pokémon's powers to hold waves of the undead at bay, a slight distance away, while Arcanine then proceeded to burn them to ashes. I'm not going to rely on a Scyther's blades to lop the head off of every zombie I see. Zombies can't come back from the ashes. A gigantic, warm, physically powerful, fire breathing beast of a dog that you can ride? Yes Please.
Pidgeot
Being large enough, and powerful enough, to carry a person (or several people) across great distances, at great speeds, traveling, or escape, would be no real problem at all. I doubt there would be zombies high up there, in the clouds. Even if there were, Pidgeot is still really fast and powerful, so sky battle wouldn't be too much of a problem. It would be a sort of personal helicopter evacuation, should a situation get too intense. Pidgeot would probably also be a great hunter. If food was hard to find, I could send it off on a hunt to catch something for us to eat, without too much worry of it being able to locate us again, or get hurt, since it would have an aerial view and can fly away from danger. Pidgeot could also scout ahead, via the air, so we would have a very large advantage in the ways of knowing about nearby danger.
Haunter
Being a ghost, Haunter would be able to scout ahead, or even check back the way we had come to make sure we had an escape route, or weren't being followed. It could do this really well by phasing through walls or other obstacles, and since it's a ghost, it may even be able to "phase out", or be "invisible". Thus, it wouldn't get caught, or seen. If it were, this is a zombie apocalypse after all. The undead are already everywhere. On a brighter note, I've always seen Haunter to be a cheerful fiend, looking for friends and a laugh. When times were too harsh, and my morale was suffering, Haunter would be around to give me a laugh, and to help restore some of that lost mental vigor.
Alakazam
Incredibly mentally powerful, and with the ability to teleport away? Who could possibly say "no"? Alakazam would be there to defend in situations where physical strength just wasn't enough. Shoving a way through the undead with his psychic powers, blasting them away, psychic shields? If truly necessary, this pokémon could be used to teleport away to instant safety (hopefully safe, anyway). It would be my last resort to run away, in the case that teleporting took a lot of mental strength, which I would want it to keep up as much as possible. There are those choosing psychic for the mind controlling abilities...but zombies don't truly have a "mind" to control, do they? They'd be a bundle of base instinct, not carefully thought out processes. There would also be the possibility I mentioned before. Say Alakazam's powers alone were not enough to permanently finish off a very large group of undead. It could instead turn it's mind to holding the undead in place, so that Arcanine could then proceed to burn them all into ashes, without fear of being injured itself. Or, if, while on Pidgeot in the sky, and some sort of flying zombie were to attack, I could summon Alakazam to ride with me and it could use its powers to dispose of the attacker(s) without the fear of Pidgeot itself having to fight while we were riding it, making the ride much more stable and never letting enemies near us.
Chansey or Blissey
Every good team needs a healer, and even though I've never been fond of these two pokémon, either one of them would be perfect. After having managed to escape by one mean or another, and being presumably safe, we would be able to stop and tend to our wounds.
Gyarados
Lapras would probably be a better means of water transportation, but I worry it would have a lack of mobility were we to find ourselves in a bad situation, such as being attacked, or if we had to travel underwater for some unknown reason. An underwater tunnel, perhaps, being the only way out of a place? But what if the tunnel was too long to swim through while holding my breath? I could then hang on to Gyarados as it pulled us through quickly. Gyarados is big, yes, but it is sinuous, not blocky like Lapras, so mobility would be very little of a problem. With it's various fangs, Hyper Beams, Hydro Pumps, and who knows what else, Gyarados would be wonderful protection in the water, of which I have a major phobia.
All of these pokémon would also be useful for transporting, or healing, several people. Say, if I were caught in this situation with my husband and daughter? Arcanine, Pidgeot, and Gyarados can all easily fit two young adults and a baby.
Edit: I probably thought about this too much, since most everyone else gave simple, easy reasons. But I like thinking out situations and knowing most of the advantages.