I've been thinking about Zombie Nation lately (no, not that Zombie Nation, the other one). It's pretty tough, but you have one secret weapon up your sleeve... if your character had sleeves, that is.

When you run low on health

Pause the game and put in the ol' Konami Code, even though Konami had nothing to do with this game

Up, Up, Down, Down, Left, Right, Left, Right, B, A, Start

Unpause, and you'll have full health!

But, beware, this can only be done one time across all of your continues, so make sure you really need it before you do it.