I live out in the country with literally about 10 people living in a 20km radius, so I guess I'd try to make a quick trip to get some supplies then get back home to the family and try to wait it out.
However if I wasn't home when the zombie outbreak started, if I was say in a city visiting some friends or in school or something... I'd probably round up everyone who can defend themselves (my friends from BJJ, Muay Thai, Judo and Taekwondo) and do the same I did before, get supplies and go home and wait it out.
I think I'd do good in a Zombie apocalypse... I've studied 3 different martial arts in the past 5 years and I've been doing parkour / freerunning since I was 13. The only thing I'm worried about is getting zombie blood on my suit :nope:
EDIT: IF the zombies are similar to those from Resident Evil or Left 4 Dead... well it doesn't really matter what I would do because I'd die anyway. There are no guns in Iceland except for hunting rifles and shotguns and you need to have a hunting license to buy those. Handguns and automatic weapons are nowhere to be found in Iceland except maybe in the Viking Squad headquarters (The Icelandic special forces / terrorist response team), and there are very few weapons there since it's not a large force.
EDIT2: Actually, when I think about it Iceland is probably a pretty good place to be during a zombie outbreak. We have
a lot of cars (658 cars per 1000 people) and the majority of those cars are large cars. A lot of off-road cars too. Do you guys remember the Top Gear episode where they went to the north pole? The cars the had were Icelandic and believe it or not cars like that are not uncommon. I see at least 5 of them every day just going to school and back.
So if my house isn't safe and I had to get my family and friends to safety the best bet would probably be to get a hold of a few cars and try to find a new safe house. Roads are not a problem when you are driving one http://www.caradvice.com.au/wp-content/uploads/2010/12/Arctic-Trucks-Toyota-Hilux-2.jpg and you have enough petrol.
EDIT3: there are only about 320 thousand people in Iceland and it's not very densely populated... can zombies starve from lack of food?

EDIT4: http://upload.wikimedia.org/wikipedia/commons/e/e1/StuckInSnowBetweenLaugarvatnAndThingvellir.jpg Can zombies survive -30°C?
I gotta stop editing things