Just make sure you can get you weapon back. A pick axe would stick in and stay. Where just a good solid handle to smash open the skull and destroy the brain, as per the previous comment, is a better choice.
I personally have always wanted to use Brush Hog on the walking dead. It is just a big heavy axe handle with a big curved knife on the end. The work force would use this to chop down small trees and brush. I know from swinging one that this would make short work of killing zombies and even in multiples.