A headshot wound to the head implies that the bullet or blade, or any type of piercing instrument punctures a zombie's brain. In The Zombie Survival Guide, In both the Survival Guide and World War Z, Brooks states that a direct hit to the area directly between the eyes is the most effective method at eliminating a zombie (a necessity summed up by the phrase "Shoot the head, or you'll be dead!"). Headshots are difficult shots to make, and and are a sign of excellent marksmanship, especially from a distance.
Not all bullet wounds to the head result in the termination of a zombie. Even a headshot to a human isn't necessarily fatal. In World War Z, Max Brooks describes the first military effort to contain the undead in New York City, at the battle of Yonkers. In one particular case, a soldier, aware of the lethal head shot hit the target but didn't manage to drop the zombie.
To boost the lethality of headshots, The US developed the NATO 5.56 PIE cartridge, also known as the Cherry PIE round. This round ignited and combusted shortly after firing, and helped turn the tide against the Zombies at the Battle of Hope, and the continuing march to Hero City.