I've gotta say i'm kinda surprised no one has touched on this before- I'd say that if you're going to attempt to stay in an urban area, then this is a nearly essential skill. Free Running is essentially "stunt running", as in in involves large jumps, vaulting over obstacles, taking a step or two off of a wall to grab things, etc.)
If you're not familiar with it, this video gives you a pretty good example: http://www.youtube.com/watch?v=WEeqHj3Nj2c
Now, obviously, in the context of a zombie apocalypse most of the flashy stuff should be cut out, but at it's core, Free Running is not just the ability to do crazy stunts- it's getting to places in the fastest way possible, regardless of the obstacles between you and that place. (Actually, that's Parkour, but they're rather similar.) It would be an excellent way to stay off of the zombie infested streets and allows you to take the road less travelled, which might make all the difference (poetry reference, right there)
However, it's also an excellent way to injure yourself, which is why I suggest you start to learn it before the zombie apocalypse- after it's begun, the chance of breaking something in the learning process is too great to risk.