Basically a lot of people go into closets when a Horde comes and shoot trough the hole. This works on easy levels but you're dead on higher levels because the infected are stronger. It's just bad.

A good idea is to get into a house or something that the infected can't come through in multiple ways. So, the fast food place in No Mercy is bad, but a store along the street may be better.

You need to look for what is easily defendable. This will work on all levels if you can find a good room.