Make sure you push zombies away when you're trying to fight hand-to-hand, otherwise you'll die.
Aim for the head, for it'll take the zombies down quicker than shooting them anywhere else.
During the exploration search every location for valuable XP, health and ammo, in addition to items that reveal new story details. Flip open dumpsters, go through file cabinets, investigate corpses and check computers.
Keep an eye on your health, and use syringes whenever it's low.
Upgrade weapons/armor while inside the shop as much as you posiblly can.
To switch weapons and equipment, pause the game, then select the desired tabs.
You may need a specific item to solve a puzzle be sure to have it.
You can always play Challenge Mode to earn XP from completed objectives, which include surviving for 30 seconds and melee killing an enemy etc.
Learn to reload between zombie waves.