Vampires can be terrifying, when they're allowed to be - but, there's a pretty big difference between the 'monster' vampire, and the tragic/romantic figure vampire. For the 'monster' vampire, you can have all the real-world horror of a particularly nasty sociopath, but with the addition of supernatural powers. But, with the tragic/romantic vampire, you just tend to have a lot of angst.
Zombies are like an unstoppable force of nature. If they're the slow and dumb sort, they might not be dangerous as long as you're careful. But, then, a flood isn't particularly dangerous, unless you get trapped. And, a bush fire isn't dangerous until you realise you've been cut-off. Zombies are dangerous in the same way.
Personally, I'd lean more toward zombies, though. Many of the scenes from horror movies that have most clearly stuck in my head as being particularly uncomfortable have tended to involve clearly terrified people realising that they're trapped, and lots and lots of grasping hands.