Nightmare Factory

This is not a fiction movie, but it is a documentary on the make-up, special effect industry and while it's not strictly about zombies, it is a lot of fun and quite interesting.

It focuses on the KNB Special Effects and Make-Up House which features Greg Nicotero who is producer on The Walking Dead and started his make-up work on the original Day of the Dead.  You get to see an evolution of make-up effects over the decades covering the films of George A. Romero, John Carpenter, John Landis, Tom Savini, Frank Darabont, Quentin Tarantino, and Robert Rodriguez.  If you want to the behind the scenes story behind the gore, this is the film for you.