If walkers get too close, you will automatically switch to your melee weapon. However you will also lose some health. If you happen to get grabbed by two zombies at once, the game will end. Always reload when you have a chance and eliminate the walkers before they get too near.
Characters
There are multiple characters available. They are unlocked by spending coins or by progressing through the game. After getting a character that you like and has stats that serve them well, remain with him or her. Upgrade them whenever possible. Because the upgrades are very expensive, concentrate on one at a time. Your starting character is a good one to focus on, as you do not have to spend any coins to unlock him.
Episodes
Complete the Episodes to earn new characters and coins.
Focus on the symbols
The environment items may hold goodies for you so watch for the symbols, typically of coins or bullets (a glossy star-like bling for a split second). Shoot the item that they symbols appeared over and you will get either the coin or the bullets when you see them. Due to the fact that a coin is not worth the lost bullet-- you will see that you will seldom have enough of those anyhow, I would suggest to do it mainly for bullets.
Headshots
Headshot walkers as early as possible by tapping their heads.
Items
Objects in the environment items may drop items. Watch for the flash of a star symbol, which usually indicate bullets or coins. When this happens, shoot the object that the symbol appeared over to collect a coin or bullets. Consider doing this only for bullets, as a coin is not worth the spent bullet.
Surroundings
Your environment is very destructible. There are objects that can be shot to help your survival. For example, when you find gas stations, shoot them to cause an explosion. Fire at barrels and zombies attacking civilians.