Lead pipe. It's simple to use, easy to carry (comparatively), and does plenty of damage. A good blow to the head with a lead pipe will slow down anything.
Ammunition is very difficult to find, and while you can still fling an empty shotgun around, it's not as effective.
Knives and swords look awfully nice, and are simple for self-defence against other humans, but their main strength is in the pain and blood-loss they cause. The monsters that you may encounter might not feel pain or bleed much, and you probably won't know their anatomy well enough to choose the ideal place to stab or slice. They also share a problem with the axe and maul - they can get stuck.
Chainsaws are dangerous and difficult to use (despite being badass), and they don't have the type of control I would want when trying to beat off a groaner.
Explosives are useful, as long as I know how to use them properly and I can carry them relatively safely.
Running away is my ideal option, however. Unfortunately, that often doesn't work out too well.
If we're talking in video game logic, though, the light-saber's pretty awesome.