You don't have to rewind evolution many generations to find a time when stabbing something with a spear was all in a day's work. Today, buried in the reptilian part of the brain is that drive to survive, recalling that time when surviving often meant to kill or be killed. So, we sit in our cubicles all day and release that urge via harmless movies and video games and the sight of nameless bad guys getting mowed down.
But there's a larger reason that zombies are today's most popular target for therapeutic head-splosions. The role of "bad guy" isn't so easy to fill these days. It used to be there was always some ethnic group or nationality Hollywood could populate action movies with; if you grew up in the 80s, it was the Russians (Red Dawn, etc), before that, the Nazis or Japanese, before that, the "Indians."
There were Native American heroes, but somehow that was even worse.
More recently, it's Arab terrorists. But we're running out of villians. You can't fill your video game with Chinese enemies; hell, they may need to sell copies of the game there. The video game industry has had us killing Nazis for a decade, because they couldn't think of anybody else it was politically correct to slaughter in huge numbers.