Well if a zombie outbreak did happen and even if they were as beastly as they were in I am Legend, I'm sure that anyone with armor guns and ammo would have no problem killing them.
Now shows with slow and weak zombies that supposedly take over the world, like The Walking Dead are just funny :d
Anyways assuming they have lion-like agility and are immune to most bullets, I'd use some construction parts from maybe home depot in a city to fortify a place of my choosing, maybe a skyscraper? Then I'd haul in enough canned food from the local food places to last me years and years. Also I'd stock up from the gunshops in town. No point in going out to the country.