Stand your ground.
If your lucid, then you'll realize your just having a nightmare. If willing it away doesn't work then the best thing you can do is just stop and stand there. When you know its a nightmare, you'll also know that nothing can hurt you. So just let the zombies/whatever get you. Usually something unexpected will happen when you do. Like suddenly you'll be somewhere else, or the zombies will become friendly or something weird like that. Or you'll simply wake up, but thats better than being afraid.

As long as you know they can't hurt you because its a dream, then you won't be afraid of them and it will cease to be a nightmare.

Once the nightmares stop, or you convert them then you can try to gain some control. But as long as that fear has a hold on you, you won't be able to control anything because your expectation is that you can't.