What is more terrifying?

That's how it is in games, but in theory, a zombie doesn't die AT ALL - meaning the only way to stop it is to chop it into pieces so it can't do anything anymore.

You can also banish the energy that caused the dead creature to resurrect. And demons can be killed like ordinary creatures - by separating their main organ (in humans, it's the heart or brain) from the rest of the body. So, you could say that the undead are more resilient.