Shaun of the Dead is an awesome movie. I love zombies, and Pegg/Frost are hilarious. But Fight Club is better. It's better than a lot of things.
I really love the anti-consumerism message that pervades through it, too. A lot of people just watch it because it's a crazy-ass mindfuck, and there's some badass shit that happens. They got to pay attention to the message underneath, too. I wish I could pull off Project Mayhem. Just blow up a bunch of corporate headquarters, fuck everything up, etc...