It's not how fast a weapon kills you, it's how fast it stops you.
I've treated many kinds of wounds, and guys who get shot tend to be incapacitated even if they survive. Guys who get stabbed keep right on functioning until they bleed out.
For making a guy fall down and leave you alone, you can't beat a bullet.
So, guns are the best choice. But you do want a viable backup, which won't jam or run out of ammo. So a good knife is a good idea.
And if you are playing a horror type game, there may well be a reason to carry a big melee weapon. A machete might dismember a zombie where emptying a clip of 9mm into him might not do all that much.