Plenty of zombie movies use the zombies to represent a threat but don't really focus on trying to scare you with them. To me zombie survival is all about people returning to a pre-civilization mode where people live in small scattered groups surrounded by danger and struggling day to day for survival. This is the environment that we evolved in and I think some of us have a subconscious desire to return to that level of existence.
Zombies also conveniently represent several unconscious fears that we have evolved with: disease, predators, enemy invaders. And they have the benefit of being photogenic. They could have made the same show but with a regular plague instead of a plague of zombies, but germs, being invisible and all, aren't all that cinematic. The Walking Dead creators definitely aren't the first ones to use zombies this way.
I thought the zombies were pretty scary early on in the show, but as time goes by I think they're trying to show that people are getting used to their new reality and so the zombies are more of a constant nuisance now. Even though they're downplaying the scariness, I still think seeing dead people walking around is kind of freaky. Maybe not terrifying, but still pretty creepy.
You have to do your part to let stuff scare you though. I've never understood why people watch/play/read horror stuff during the day or with the lights on or around groups of people. Ever been in a cemetery at night by yourself? It's a little different than in a group during the day.
Damn, this turned into a long drunken rambling. Oh well.