Now that everyone has brought to light zombies' ability to walk under water, and the chance that they might wash ashore or develop intelligence, it makes me believe more firmly in the idea of traveling light, constantly moving, and killing them whenever the opportunity presents itself or whenever you have to. Let's take some extreme examples.
In Zombieland we have a good representation of the classic zombie, and they are attracted to light, noise, and activity as we saw at the theme park, and they also follow you whenever they catch a glimpse of you moving. Therefore no matter where your stronghold is, if it makes any noise, light, or if they saw you go there they would attempt to follow en masse. In this movie the tactics were to be on the move and kill, kill, kill, and it succeeded.
In 28 Days Later and its sequel we see extremely aggressive, fast, and powerful creatures with zero intelligence. We learn they cannot reproduce, and more importantly they can starve to death. If you hold them off until they run out of food we can assume that they'll starve before life "finds a way" and they reproduce or get crafty. In the first movie we saw various groups of people. The first constantly moved during the day and built booby traps for various scenarios. The second stayed put and made killing easy by funneling zombies through noise makers, up stairs and into a bottleneck. The third was well established and had a very elaborate system of killing zombies and rescuing survivors. The main characters gave up hiding, went on the move, and went so far as to sabotage what seemed like a very well fortified hideout, instead opting to move once again. The zombies eventually starved. The second movie didn't end so well, however.
In I Am Legend we see a strange type of zombie. At first they're unable to be in light because they'll burn up, and we see booby traps set to take advantage of that. We also see that they are extremely aggressive and active at night time, to the point where the main character has built an intensely fortified and defended hideout. The problem with these monsters is that they eventually develop some intelligence and find a way to shield themselves from the sun via a hoodie. Apparently they built their own booby trap, or used an existing one to grab the main character. We learn once again that these monsters will follow you, and that they actually have feelings and intelligence. Ultimately the fortification failed and the characters had to flee to a safe zone.
We've got three instances of hideouts failing miserably. Given those examples and some general characteristics that all zombies have it just makes more sense to move before they catch onto you than to inevitably invite them into your house as will eventually happen. Relying on a structure for defense is too much of a liability because as the structure gets damaged you have to mend it, thereby failing to actively defend yourself. With an enemy so violent and in such massive numbers a structure is more useful as a strategic distraction to buy yourself time to get the hell out of Dodge.