I can see your point about zombies being lame monsters. The same could be said for the Mummy. (he moves so slow!) But here's my take on zombie films, and why they are legitimately the scariest horror films. (when done right)
The best zombies are dumb and slow. Any healthy man or woman should be able to hold their own against them. Give the person a gun or a decent blunt object, and they should be able to get through a crowd of them without much problem.
But the real horror of zombie films comes from the sheer inevitability of them. There are tons of zombies around. (as victims themselves become zombies) And it only takes 1 bite to become infected. Sooner or later, no matter how fast you are, or how well armed, you're going to make a mistake. And that mistake could cost you dearly.
SPOILERS
The original Dawn of the Dead does such a good job of this. The two main characters are getting so adept at handling the zombies that they are actually enjoying themselves, and taunting the undead. Then, one of them gets too cocky, and the situation quickly falls apart, leaving him infected. In a span of a few seconds, a controlled situation changes.
END SPOILERS
Everyone has to sleep. They have to rest. The zombies, however, are constantly on the move. All it takes is one slip-up, one jammed weapon, one mistake, one cat-nap, one unsecured window, and it's all over...
The creators of Shaun of the Dead understood this, and that's why it's such a good zombie film, as well as being dead funny.