I think a more basic question (as someone who is pretty well versed in Zombie Lore) is: depending on who's telling the story, the zombies can vary dramatically in effective intelligence, strength, and athleticism. So, the big question for flyingwelshman is: what kind of zombies are we dealing with here? For instance, if we were facing the standard Romero shamblers, I would be more than content to commandeer the lovely Shannon 60 at the marina I work at, and float in the middle of Narragansett Bay until it blew over (classic Romero zombies are pretty dumb, weak, can't swim, etc.)
If, however, we were dealing with the World War Z horrors, I'd think twice about being anywhere near land, and then you're talking about finding a vessel that can last for up to multiple months offshore (complete with extensive solar and wind plants, desalinization, etc.)
Overall, provided supplies can be restocked with a minimal hazard to life and limb, I don't see any reason why a sailboat wouldn't be a good place to take refuge. It certainly seems a better option than the office buildings/warehouses that seem to litter zombie movies.
See? Now here is a thought-provoking answer.
So I guess we have to establish what caused the zombification. If it was some kind of vague industrial accident caused by socially irresponsible, corrupt and greedy business people then we would probably be pretty safe anchored just off-shore - then stealing into urban centres to scavenge our supplies from abandoned WalMarts etc.
If the mutations were brought about by some military top-secret weapons program gone awry, then we'd better prepare for extended offshore cruising and think about finding some un-affected island somewhere from which to repopulate the planet.
If the zombies are created by a malignant space spore then all bets are off.
I am still quite worried about these zombies climbing up my anchor rode though. Would a Chinese-made Rocna knock-off be as effective as an original one to stop the zombies from getting aboard?