In view of Mr. Bane's recent podcast about undead defense I decided that I should weigh in.
As far as my background in this area, I am currently a member of the Usual Suspects Network, Zombie Elimination/Disposal Unit (ZEDU) Member #214 (Zombie Bait Procurement and Retention Specialist) and I have worked in the past with Bureau 13, a paranormal activities unit.
Mr Bane had some interesting thoughts on the subject and I just wanted to add a few things;
My preferred anti-Zombie weapons are the AK-74 and a 9mm handgun, I like rapid controllable fire (a good 40mm under-barrel grenade-launcher is a prize accessory as well, go with the buckshot rounds if you have one). I don't like shotguns as when one deals with zombies, one tends to have to deal with a LOT of Zombies, quick reloading is a must. Some of my fellow ZEDU members prefer the Saiga 12 shotguns for this reason.
The Vampire (AKA Wampir, vrykolakas, mandurugo, kyūketsuki, etc.) is a bit harder to deal with. Mundane weapons like firearms will not normally eliminate them. The Vampire has the ability to heal almost instantly from even the most devastating injures. Vampire are, as Mr. Bane mentioned, very vulnerable to garlic, holy water and other religious items, Jewish Vampires can be warded off with the Mogan David, Japanese by Shinto seals, etc. The stake driven through the heart is one of the primary methods used to kill the Vampire, stakes used need to be a hardwood, Ash, Oak and Hawthorn are the normally used varieties. One answer to the normal inefficiency of a firearm is wooden bullets, often dipped in holy water and blessed by a religious figure (Remember to download those rounds!), shotguns are often loaded with wooden rosary beads similarly prepared, while there is a risk of failure from over-penetration, they are still likely to stun the beast and allow for decapitation, you MUST remove the head and bury it in consecrated ground or burn it! garlic juice and holy water can be carried in spray bottles and use with good effect, to say nothing of a super-soaker or the handy-dandy water-balloon! A friend of mine even experimented with replacing the post in a hydroshock with a small stake of Ironwood (I don't know if it ever had a field trial).
Werewolves (AKA Lycanthropes, Loup-garou, etc.) are even tricker than Vampires in some ways as they are not vulnerable to religious artifacts. Wolfsbane (Ranunculaceae Aconitum) is a commonly used repellent and the are very allergic to silver. Colloidal silver, silver oxide and other silver compounds will activate the allergic response rather well, reports even indicate that werewolves have been wounded and driven off by being bitten by persons with silver fillings. As Mr Bane mentioned, the high price of silver has made silver bullets economically non-viable, silver alloys and silver plating will work well as long as the bullet hits a vital area. Silver plated items such as brass-knuckles, knives, bayonets and even an aluminum baseball bat with a silver plated railroad spike sticking out of it have been used with some success. The shotgun is an excellent anti-were weapon, I prefer to load it with silver dimes but standard dimes coated with silver will yield good results too. One issue to bare in mind is that werewolves revert to human form upon their death so have a good story for the cops, or bug the heck out right after.
If one has to pick a general purpose anti-undead (barring Zombies as mentioned above) weapon it would be the shotgun. The best ammo would be a multiplex round which combines a bottom layer of #4 Cold Iron banded buckshot (a cold iron ball with two bands of silver plating running around the circumference of the ball) with a top layer of rosary beads. Cold Iron is used as it is very effective against Demons and Fey (AKA Faeries {Pixies, Nymphs, Brownies, and Satyrs being the most common}) and it reduces your silver requirements. Note that this is Iron not steel, the lower carbon content of steel reduces it's effectiveness against such creatures.
Well, I hope this helps, just remember to check your targets and be sure the creature before you IS a full-blown undead and not just the neighbors 12 year-old in a cheezy costume, enjoy!