Proper lighting angles in any zombie stage or film production help emphasize the creepy factor in a big way. As with many visual horror elements, you want to maximize shadows and contrast in order to bring out the gruesome shapes of the zombies' faces and highlight the craggy recesses in face and body. The way to do this is to use minimal light facing the actors from the front, and to light them more heavily from the top than from the sides, or visa versa.
Avoid casting too much light on your zombies; horror is nearly always best in a darker environment, which leaves more to the imagination. You may wish to depart from this model if you've got a zombie makeup that you're particularly proud of and want to feature in all it's gruesome detail. Even in moments like this, use just as much light as you need and only when you need it. In general, go for sparing moments of brightness to let people catch glimpses of zombies, rather than letting them be out in the light at all times.
Normally, you want to use color filters that flatter skin tones, but with the living dead, you want skin to look pale and sickly. This is one occasion where you can use a green gel filter on your lights, or a pale shade of gray. If you have any actors portraying still-living victims, however, you'll want to avoid these colors for them and cast them in peach tones to contrast their living, healthy flesh with the flesh of the undead.
The question of when to use your lights is just as important as what lights you use. Take advantage of the dark for as long as you can; if you have an opportunity to have the zombies be heard and not seen the first time your audience encounters them, use it. Keep the zombies unlit, lit minimally, or backlit to create silhouettes. This allows the fear and anticipation to build before the lights fully come up to reveal the full horror of the monsters.