So then, what particularly is it that is so fascinating about killing hordes of zombies? It's the thrill people get out of the violence and horror. But, I sure as hell don't get the same adrenaline rush shooting buffalo on Big Game Hunting as I do shooting down zombies in Resident Evil or Left 4 Dead. Compare, these 2 youtube videos and you tell me, which you find will probably be more fun (although I love Big Game Hunting too).
At the same time, humans in modern societies are brought up with certain moral systems. Killing and violence, especially other people, is looked down upon because then society would collapse. Zombies represent the closest things to humans, with an even greater upside: they're evil and you shouldn't feel bad about splattering their guts all over the sidewalk with your baseball bat. By bringing together a combination of our fascination with necromancy/magic fantasy and humans' innate attraction to violence, game producers and movie makers have hit gold by making these zombie related productions.